Arouri, Mohamed El Hedi; Bellalah, Mondher; Nguyen, Duc … - In: Applied Economics Letters 17 (2010) 13, pp. 1323-1328
We analyse the time variations in the comovements of Latin American stock markets. Conditional correlations are estimated from the dynamic conditional correlation GARCH model. Then, Bai and Perron's (2003) structural break technique is employed to test for changing nature of market comovements....
