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Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia

โœ Scribed by Gerard H. Kuper; Lestano


Book ID
113470150
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
678 KB
Volume
18
Category
Article
ISSN
1049-0078

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In this paper, we consider the order statistics from a bivariate normal distribution and develop a conditional correlation analysis. We then apply these results to evaluate the presence of inventory e ects in futures market. We also apply these results to analyze the data from a visual acuity experi