Browsing by Author "Nguyen, Nghia"

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Correlation dynamics between Asia-Pacifc, EU and US stock returns

Hyde, Stuart ; Bredin, Donal ; Nguyen, Nghia (University College Dublin. School of Business. Centre for Financial Markets, 2007)

This paper 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, ...