assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African … conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By … analyzing the correlation coefficient series, three phases of the crisis periods were identified {pre-crisis (2004-2007); crisis …

and the tests the volatility, as a factor, that may cause the correlations to change over time. Linear regression … estimates of Asymmetric Dynamic Conditional Correlation Model, which allows correlations to change, have been used to test if … the volatilities of individual markets or their relative volatility causes the change in correlations.The results suggest …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …