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. Constrained School Choice2. The name is absent
3. Natural Resources: Curse or Blessing?
4. Yield curve analysis
5. On Evolution of God-Seeking Mind
6. Lumpy Investment, Sectoral Propagation, and Business Cycles
7. Structure and objectives of Austria's foreign direct investment in the four adjacent Central and Eastern European countries Hungary, the Czech Republic, Slovenia and Slovakia
8. The name is absent
9. The name is absent
10. The name is absent