| ชื่อเรื่อง | : | Cointegration and conditional correlations among German and Eastern Europe equity markets |
| นักวิจัย | : | Guidi, Francesco. , Gupta, Rakesh. |
| คำค้น | : | Applied research. , 900102 Investment Services (excl. Superannuation) , 150205 Investment and Risk Management. , 140207 Financial Economics. , 140210 International Economics and International Finance. , Stock exchanges , International economic relations. , International finance. , Equity markets -- Cointegration -- Dynamic conditional correlation models |
| หน่วยงาน | : | Central Queensland University, Australia |
| ผู้ร่วมงาน | : | - |
| ปีพิมพ์ | : | 2552 |
| อ้างอิง | : | http://hdl.cqu.edu.au/10018/45615 |
| ที่มา | : | Guidi, F & Gupta, R 2009, 'Cointegration and conditional correlations among German and Eastern Europe equity markets' paper presented to the ESAM09 Econometric Society Australasian Meeting, Canberra, ACT, 7–10 July, 2009.http://mpra.ub.uni-muenchen.de/21732/ (viewed 8/6/10) |
| ความเชี่ยวชาญ | : | - |
| ความสัมพันธ์ | : | ESAM09 Econometric Society Australasian Meeting, Canberra, A.C.T., 7-10 July 2009. Canberra : ANU College of Business and Economics, 2009. p. 1-21 21 pages Refereed , ACQUIRE [electronic resource] : Central Queensland University Institutional Repository. |
| ขอบเขตของเนื้อหา | : | - |
| บทคัดย่อ/คำอธิบาย | : | This paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries into the European Union. |
| บรรณานุกรม | : |
Guidi, Francesco. , Gupta, Rakesh. . (2552). Cointegration and conditional correlations among German and Eastern Europe equity markets.
กรุงเทพมหานคร : Central Queensland University, Australia. Guidi, Francesco. , Gupta, Rakesh. . 2552. "Cointegration and conditional correlations among German and Eastern Europe equity markets".
กรุงเทพมหานคร : Central Queensland University, Australia. Guidi, Francesco. , Gupta, Rakesh. . "Cointegration and conditional correlations among German and Eastern Europe equity markets."
กรุงเทพมหานคร : Central Queensland University, Australia, 2552. Print. Guidi, Francesco. , Gupta, Rakesh. . Cointegration and conditional correlations among German and Eastern Europe equity markets. กรุงเทพมหานคร : Central Queensland University, Australia; 2552.
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