Essays about: "Vincent Vennberg"

Found 1 essay containing the words Vincent Vennberg.

  1. 1. Equity Transmission Effects and Autocorrelations across the U.S., the Eurozone and Japan

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Eric Mercado Olofsson; Vincent Vennberg; [2010]
    Keywords : transmission effects; causality; autocorrelation; mean reversion; international portfolio diversification;

    Abstract : This paper presents statistically significant and causal trends of increasing transmission effects across equity markets of the world’s three largest economies during the period of 1988 till 2010. When studying daily returns of the S&P 500, EURO STOXX and Nikkei 225 in a round-the-clock setting, increasing transmission effects were detected by our Autoregressive (AR) models and Granger causality tests. READ MORE