Dynamic conditional relationships between developed and emerging markets
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DOI: 10.1016/j.physa.2018.05.007
Abstract: Abstract This study examines the dynamic conditional correlations between the US and Korean financial markets and identifies the determinants of those correlations using the VAR-DCC-MGARCH model. We find that the Global Financial Crisis (GFC) affects… read more here.
Keywords: conditional relationships; dynamic conditional; relationships developed; market ... See more keywords