Durai, S. Raja Sethu; Bhaduri, Saumitra N. - In: Research in International Business and Finance 25 (2011) 1, pp. 64-74
This study is aimed at understanding the correlation dynamics of the equity markets from a developing country perspective using daily data from July 1997 to August 2006. A simple unconditional correlation estimate and dynamic time varying correlation estimate from a DCC-MVGARCH of Engle and...