There has been a large amount of research on long memory in economic and financial time series. However, there is still no consensus on its presence in these series. We argue in this article that spurious short memory may be found because of the use of bandwidth parameters that diverge too...

This paper examines the linkages between the two emerging stock exchanges in mainland China and the established markets in Hong Kong and in the US by a multivariate GARCH approach. We use a four-variable asymmetric GARCH in the line of the BEKK model proposed by Engle and Kroner (1995) to...