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|標題:||The Cointegration Analysis and the Economic Drivers of Dynamic Conditional Correlation
|作者:||董澍琦||關鍵字:||應用研究;Dynamic Conditional Correlation;經濟學;動態條件相關;共整合;EGARCH 模型;Cointegration;EGARCH-DCC model.||摘要:||
The degree of risk reduction will highly depend on the correlations betweeninternational stock markets. However, the empirical studies have shown that thecorrelations between equity returns vary considerably through time. To construct anoptimal portfolio at each point time, it is not only important to have an insight into theaverage level of the correlations, but in particular into their dynamics, i.e. the conditionalcorrelations. Therefore, several sophisticated statistical models are developed to explain thetime-variation of conditional correlations. Although these statistical models have theirattractive features, they do not reveal any information about the economic sources drivingthe conditional correlations. The 「search for economic sources」will be the main purpose ofthis project. The first-year job of this project is to apply the EGARCH-DCC model toinvestigate the return and volatility transmission behavior between US stock return and anyAsian stock return. Then we get the time-series data of the dynamic conditional correlationcoefficient through the DCC model. By using the cointegration analysis, we try toinvestigate whether there are common factors among these dynamic conditionalcorrelations. The second-year job attempts to explain why correlations vary through timeby relating this time-variation to some economic variables. In other words, in thesecond-year, we will search for the fundamental sources driving the conditionalcorrelations. The third-year job employs the same methodology to investigate the dynamicconditional correlations between the stock market and the foreign exchange market. Wealso want to search for fundamentals that may influence the degree of comovementbetween stock returns and the change of exchange rates. The 『search for economic forces orfind the common trends」makes this project radically different from most other studies ontime-varying correlations, which were mainly concerned with modeling correlations in apurely statistical way.
|Appears in Collections:||財務金融學系所|
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