Dynamic Analysis of Correlation between Stock Market returns: An Empirical Study on Hong Kong and UK Stock Markets
Abstract This paper examines the stock market correlation between Hong Kong and UK from January 3, 1990 to June 29, 2012, by using dynamic conditional correlation (DCC) analysis by Engle (2002). With the estimation of the time varying correlation from the Asymmetric dynamic Correlation Model, a reg...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | http://eprints.nottingham.ac.uk/25912/ http://eprints.nottingham.ac.uk/25912/1/MSC_Risk_management_dissertation.pdf |