Periodic dynamic conditional correlations between stock markets in Europe and the US

Journal of Financial Econometrics

Volumn 6, Issue 3, 2008, Pages 307-325

  Osborn, Denise R ^a   Savva, Christos S ^b   Gill, Len ^a  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b UNIVERSITY OF CYPRUS   (Cyprus)

Author keywords

Day of the week effect; Dynamic conditional correlations; Periodic models; Volatility

Indexed keywords

EID: 45149091778     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbn005     Document Type: Article

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