) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent … structure. Correlation paths display frequent shifts along the whole sample, both in low and in high volatility phases, pointing …This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC …

contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not … require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from … structural breaks and can be used to investigate positive as well as negative contagion. The proposed measure appears to work …

estimation finds these economic indicators to be significant for emerging market countries during the Mexican, Asian, and Russian …

, and data from the Mexican, Asian, and Russian crises to provide evidence of this discriminating contagion, after … controlling for alternative channels of contagion such as trade spillovers and financial linkages. …