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Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets
http://hdl.handle.net/2261/26654
http://hdl.handle.net/2261/26654af9de0e1-748f-4fc2-b168-5a5f7172c572
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Cross-country correlations | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Market volatilities | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Currency risks | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Domestic interactions | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | International interactions | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Stocks | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Bonds | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Foreign exchange markets | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Abdul, Hakim
× Abdul, Hakim× McAleer, Michael |
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著者所属 | ||||||
値 | Faculty of Economics Indonesian Islamic University | |||||
著者所属 | ||||||
値 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
値 | Tinbergen Institute The Netherlands | |||||
著者所属 | ||||||
値 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The benefits of investing internationally depend on three conditions, namely cross-country correlations, market volatilities, and future changes in currency risks (see Odier and Solnik (1993)). This paper investigates these conditions for several countries. Many papers have modelled both domestic interactions across asset markets and international interactions in individual asset markets in isolation, but rarely have they examined international interactions across asset markets. The paper fills this gap by modelling the international interactions across stock, bond and foreign exchange markets. Two models that meet these purposes are the VARMA-AGARCH model of McAleer et al. (2009) and the VARMA-GARCH model of Ling and McAleer (2003). The countries that will be modelled in this paper are Australia, Japan, Singapore, New Zealand and USA. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-663, 発行日 2009-09 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題Scheme | NDC | |||||
主題 | 335 | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
値 | Center for International Research on the Japanese Economy | |||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf663ab.html |