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Ditemukan 1 dokumen yang sesuai dengan query
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Emenike O. Kalu
Dynamic correlation between stock market returns and crude oil prices: evidence from a developing economy
" Modeling the correlation of assets returns volatilities across different markets or segments of a market has practical value for portfolio selection and diversification, market regulation, and risk management. This paper therefore evaluates the nature of time-varying correlation between volatilities of stock market and crude oil returns in Nigeria using Dynamic Conditional Correlation-Generalised Autoregressive Conditional Heteroscedasticity (DCC-GARCH) model. Results from DCCGARCH (1,1) model show evidence of volatility clustering and persistence in Nigeria stock market and crude oil returns. The results also show ... "
Rhema University Nigeria, Department of Banking and Finance, 2015
J-Pdf
Artikel Jurnal  Universitas Indonesia Library