Lin, Kuan-Pin; Menkveld, Albert J.; Yang, Zhishu - In: China Economic Review 20 (2009) 1, pp. 29-45
After more than 15years of Chinese equity markets, we study how variance, covariance, and correlations have developed in these markets relative to world markets, based on the dynamic conditional correlation (DCC) model of Engle [Engle, R., 2002. A dynamic conditional correlation: A simple class...
