Ding, Liang; Huang, Yirong; Pu, Xiaoling - In: Global Finance Journal 25 (2014) 2, pp. 71-89
This paper analyzes the volatility linkage across the U.S., European, German, Japanese, and Swiss equity markets from 1999 to 2009. Both the unconditional and conditional correlations exhibit large fluctuations during the sample period. The results from the VAR analysis show an asymmetric...
