Chen, Heng; Smyth, Russell; Wong, Wing-Keung - In: Applied Financial Economics 18 (2008) 9, pp. 733-747
This article employs a Fractionally Integrated Vector Error Correction Model (FIVECM) to examine the return transmission between the Australian and New Zealand stock markets and the Australian and the United States stock markets. We augment the FIVECM with a multivariate GARCH model. In so...
