research
Statistical Analysis of the Correlation between Italian and U.S. Stock Returns
- Publication date
- Publisher
Abstract
An estimator of the correlation between Italian and U.S. Stock Returns is introduced. The properties of the estimator are invariant with respect to a wide class of GARCH models. The empirical evidence shows the existence of a positive correlation between Italian an U. S. stock returns.GARCH models, Invariance, Stock Returns.