Christos Savva Savva

University of Manchester - School of Social Sciences

Oxford Road

Manchester, M13 9PL

United Kingdom

http://www.socialsciences.man.ac.uk/economics/research/phd/csavva.htm

  • University of Manchester - School of Social Sciences

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Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the Us

Journal of Financial Econometrics, Vol. 6, Issue 3, pp. 307-325, 2008
Posted: 17 Jun 2008
Denise R. Osborn, Christos Savva Savva and Len Gill
University of Manchester - School of Social Sciences, University of Manchester - School of Social Sciences and University of Manchester - School of Social Sciences

Abstract:

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G10, G12, G22, Day-of-the-week-effect, dynamic conditional correlations, periodic models, volatility