Dynamic Correlation Analysis of Asian Stock Markets
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Economics and Econometrics
Link
http://link.springer.com/content/pdf/10.1007/s11294-012-9343-6.pdf
Reference13 articles.
1. Arouri, M., & Nguyen, D. K. (2009). Time-varying characteristics of cross-market linkages with empirical application to Gulf stock markets. Managerial Finance, 36(1), 57–70.
2. Bekaert, G., Hodrick, R. J., & Zhang, X. (2009). International stock return comovements. Journal of Finance, 64(6), 2591–2626.
3. Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31(3), 307–327.
4. Engle, R. F. (2002). Dynamic conditional correlation: a new simple class of multivariate GARCH models. Journal of Business and Economic Statistics, 20(3), 339–350.
5. Forbes, K., & Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. Journal of Finance, 57(5), 2223–2261.
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