Pen, Yannick Le; Sévi, Benoît - In: Revue économique 61 (2010) 3, pp. 407-419
We proceed to an impulse-response analysis on the conditional correlations between three stock indices returns: the S&P 500, the ftse 100 and the Nikkei 225. As a first step, a general asymmetric dynamic conditional correlation (ga-dcc) model proposed by Cappiello, Engle and Sheppard [2006] is...