Candelon, Bertrand; Piplack, Jan; Straetmans, Stefan - In: Journal of Banking & Finance 32 (2008) 6, pp. 1022-1035
This paper implements estimation and testing procedures for comovements of stock market "cycles" or "phases" in Asia. We extend the Harding and Pagan [Harding, D., Pagan, A.P., 2006. Synchronization of cycles. Journal of Econometrics 132 (1), 59-79] test for strong multivariate...