Oztek, M. Fatih; Ocal, Nadir - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2012
This paper employs STCC-GARCH and DSTCC-GARCH models to investigate the time varying return co-movements between Chinese stock markets and stock markets of the US, UK, France and Japan. Unlike the earlier literature, we uncover that there are noticeable rising trends in conditional correlations...