Hellström, Jörgen; Soultanaeva, Albina - Institutionen för Nationalekonomi, Umeå Universitet - 2010
In this paper we study the impact of market jumps on the time varying return correlations between stock market indices in the Baltic countries. An EARJI-EGARCH model facilitating direct modelling of the time varying return correlations is introduced. The empirical results indicate that there is...