Chung, Chae-Shick; Rhee, Chong Ook - In: Asian Economic Papers 1 (2002) 3, pp. 122-147
This paper reports the results of an empirical analysis of the linkage between the financial markets (foreign-exchange, stock, and bond markets) of Korea and the financial markets of the United States, Japan, and six major East Asian countries. A multivariate generalized autoregressive...