Mighri, Zouheir; Mansouri, Faysal - In: International Journal of Economics and Financial Issues 3 (2013) 3, pp. 637-661
This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and emerging stock markets during the...