Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - In: International Review of Financial Analysis 30 (2013) C, pp. 46-56
This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997–2012. We focus on five most important emerging equity...
