Title :
Notice of Retraction
Study on time varying conditional correlations of stock market returns based on multivariate GARCH model
Author :
Yu Lin ; Yanxiang Chen
Author_Institution :
Bus. Sch., Chengdu Univ. of Technol., Chengdu, China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
This paper uses multivariate GARCH model to model covariance matrix of Shanghai stock integration index, Hangsheng index of Hong Kong stock market and Nikkei 225 index of Tokyo stock market, and analyze time-varying conditional correlations of returns and volatilities of these three index returns. Our results show that conditional returns of them are of time varying conditional correlations and their covariance matrices are also varying with the time.
Keywords :
autoregressive processes; covariance matrices; stock markets; Hangsheng index; Hong Kong stock market; Nikkei 225 index; Shanghai stock integration index; Tokyo stock market; covariance matrices; multivariate GARCH model; stock market returns; time varying conditional correlations; Analytical models; Multivariate GARCH model; Return of integration index; Time Varying Conditional Correlations; Volatility;
Conference_Titel :
Advanced Management Science (ICAMS), 2010 IEEE International Conference on
Conference_Location :
Chengdu
Print_ISBN :
978-1-4244-6931-4
DOI :
10.1109/ICAMS.2010.5553092
