Guesmi, Khaled; Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2013
This paper evaluates the time-varying integration of the Singapore stock market in the ASEAN-5 region based on a conditional version of the International Capital Asset Pricing Model (ICAPM) with c-DCC-FIAPARCH parameters. This model allows for dynamic changes in the degree of market integration,...