Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20
apply dynamic conditional correlation models (DCC-GARCH(1,1)) to daily stock-index returns of eight Asian stock markets, six … correlations, we test for contagion by using a difference test for DCC means. The results obtained shows that there is a pure …