ACHRAF, Ghorbel; BOUJELBENE, Younes; ISSAM, Chouchene - In: Journal of Applied Economic Sciences Quarterly VIII (2013) 1, pp. 7-21
volatility spillover effect by using specifically the Baba-Engle-Kraft-kroner BEKK-GARCH model and time varying correlation (DVEC … developed stock markets. The results of the time varying correlation show that correlation increased between U.S and developed …. The estimation results of time varying correlation and BEKK-GARCH between the macroeconomic variables of U.S and developed …