What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?
نویسندگان
چکیده
منابع مشابه
What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?
This paper establishes the link of microstructure and macroeconomic factors with the timevarying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be significant determinants of this correlation which is inclusive of the short-run variation of both asset retu...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1093286