Darbar, Salim M; Deb, Partha - In: Journal of Financial Research 20 (1997) 3, pp. 305-22
We examine the co-movements of equity returns in four major international markets by characterizing the time-varying cross-country covariances and correlations. Using a generalized positive definite multivariate GARCH model, we find that the Japanese and U.S. stock markets have significant...