The name is absent



Figure 3. Dynamic Conditional Correlation between SPDR and iShares returns


1.00

0.75

0.50

0.25

0.00

-0.25

1.00

0.75

0.50

0.25

0.00

-0.25


UK

1996     1997     1998     1999     2000     2001     2002     2003     2004


Canada



1996     1997     1998     1999     2000     2001     2002     2003     2004


Notes. The figure shows conditional correlation coefficients between between SPDR and respective iShares,
extracted from the DCC-GARCH(1,1) specification of the DCC-GARCH model of Engle (2002), with t-distributed
errors. see section 5.3. for the details of the model
.

32



More intriguing information

1. Creating a 2000 IES-LFS Database in Stata
2. Making International Human Rights Protection More Effective: A Rational-Choice Approach to the Effectiveness of Ius Standi Provisions
3. Licensing Schemes in Endogenous Entry
4. The name is absent
5. NVESTIGATING LEXICAL ACQUISITION PATTERNS: CONTEXT AND COGNITION
6. The name is absent
7. The fundamental determinants of financial integration in the European Union
8. PRIORITIES IN THE CHANGING WORLD OF AGRICULTURE
9. Public-Private Partnerships in Urban Development in the United States
10. Behavior-Based Early Language Development on a Humanoid Robot