This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference...

The available evidence shows that less developed countries (LDCs) have been quite systematically excluded from the catch-up process. The absence of Laces’ convergence stands in striking contrast with the implications stemming from the traditional growth model. The recent revival of interest in...

L’articolo contiene un’analisi empirica sulla volatilità del tasso di cambio lira/dollaro nel periodo 1973/86 o sull’ipotesi di parità di interesse scoperta. Sulla base dei tests effettuati la volatilità di questo tasso di cambio non appare generalmente « eccessiva » mentre...