Wong, Douglas K. T.; Li, Kui-wai - In: Applied financial economics 20 (2010) 1/3, pp. 137-150
This article uses the Dynamic Conditional Correlation (DCC) model and the data from 11 economies to examine the inter-temporal interactions between stock return differential relative to the US and real exchange rate in the two financial crises of 1997 and 2008. The theoretical model suggests...
