Dynamic Analysis of Correlation between Stock Market returns: An Empirical Study on Hong Kong and UK Stock Markets

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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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Bibliographic Details
Main Author:	Fan, Liyu
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2012
Online Access:	https://eprints.nottingham.ac.uk/25912/

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