Time-Scale Comovement Between The Indian And World Stock Markets
作者： Rahul Deora , Duc Khuong Nguyen
关键词:
摘要: We propose a wavelet-based dynamic conditional correlation – GARCH approach to investigate the time-scale comovement between Indian and world stock markets. Our empirical analysis reveals existence of time-scale-dependent The results can thus be used by heterogeneous groups foreign investors who trade in different time horizons actively manage hedge against risk their portfolios.
cluteinstitute.com参考文章(25)
Herbert Grubel, Internationally Diversified Portfolios: Welfare Gains and Capital Flows ,(1968)
Charles K. Chui, An introduction to wavelets ,(1992)
Marshall Sarnat, Haim Levy, International Diversification of Investment Portfolios The American Economic Review. ,vol. 60, pp. 668- 675 ,(1970)
Donald B. Percival, Andrew T. Walden, Wavelet Methods for Time Series Analysis ,(2006)
Ramazan Genc̦ay, Brandon Whitcher, Faruk Selçuk, An Introduction to Wavelets and Other Filtering Methods in Finance and Economics ,(2001)
Robert Engle, Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models Journal of Business & Economic Statistics. ,vol. 20, pp. 339- 350 ,(2002) , 10.1198/073500102288618487
Sangbae Kim, Francis In, None, On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis Journal of International Financial Markets, Institutions and Money. ,vol. 17, pp. 167- 179 ,(2007) , 10.1016/J.INTFIN.2005.10.004
Francis In, Sangbae Kim, None, The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis* The Journal of Business. ,vol. 79, pp. 799- 820 ,(2006) , 10.1086/499138
L. Cappiello, R. F. Engle, K. Sheppard, Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns Journal of Financial Econometrics. ,vol. 4, pp. 537- 572 ,(2006) , 10.1093/JJFINEC/NBL005
Michael McAleer, Suhejla Hoti, Felix Chan, Structure and asymptotic theory for multivariate asymmetric conditional volatility Econometric Reviews. ,vol. 28, pp. 422- 440 ,(2009) , 10.1080/07474930802467217