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Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets : Emerging Markets Evidence
http://hdl.handle.net/2261/28494
http://hdl.handle.net/2261/284941ea8d2fc-407f-4c9b-bdf7-e945766818e0
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets : Emerging Markets Evidence | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Risk | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | conditional correlations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | emerging markets | |||||
| 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 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classifications: G10, G11, G15, G19 | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| 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 | ||||||
| 著者所属 | Faculty of Economics Indonesian Islamic University | |||||
| 著者所属 | ||||||
| 著者所属 | Econometrics Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
| 著者所属 | ||||||
| 著者所属 | Tinbergen Institute The Netherlands 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 paper models the dynamic conditional correlations in emerging stock, bond and foreign exchange markets using the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). The highly restrictive DCC model suggests that the conditional correlations of the overall returns are constant. In contrast, the GARCC model finds that the conditional correlations between bond-bond markets and between stock-stock markets are relatively constant across developed-emerging markets, while those between emerging-emerging markets are dynamic. The conditional correlations between stock-bond markets across developed-emerging markets are also more dynamic as compared with those between emerging-emerging markets. | |||||
| 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-677, 発行日 2009-10 |
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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 | ||||||
| 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/2009/2009cf677ab.html | |||||
