Arbeitspapier
High and low frequency correlations in global equity markets
This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period 1995-2008. These two types of variations are modeled following the semi-parametric Factor-Spline-GARCH approach of Rangel and Engle (2008). This framework is extended and modified to incorporate the effect of multiple factors and to address the issue of non-synchronicity in international markets. Our empirical analysis suggests that the slow-moving dynamics of global correlations can be described by the Factor-Spline-GARCH specifications using either weekly or daily data. The analysis shows that the low frequency component of global correlations increased in the current financial turmoil; however, this increase was not equally distributed across countries. The countries that experienced the largest increase in correlations were mainly emerging markets.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2009-17
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Thema
-
dynamic conditional correlations
high and low frequency variation
global markets
non-synchronicity
Internationaler Finanzmarkt
Kapitalanlage
Kapitaleinkommen
Statistische Verteilung
ARCH-Modell
Industriestaaten
Schwellenländer
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Engle, Robert
Rangel, José Gonzalo
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Engle, Robert
- Rangel, José Gonzalo
- Banco de México
Entstanden
- 2009
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