Beirne, John; Caporale, Guglielmo Maria; … - European Central Bank - 2009
emerging market returns. Tri-variate GARCH-BEKK models of returns in mature, regional emerging, and local emerging markets are … variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. In the majority of the … increase in conditional correlations. With few exceptions, conditional beta coefficients between mature and emerging markets …