Hyde, Stuart; Bredin, Don; Nguyen, Nghia - In: Asia-Pacific financial markets : integration, …, (pp. 39-61). 2007
This chapter investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, Engle, and Sheppard (2006). We find significant variation in...
