Kolluri, Bharat; Machuga, Susan; Wahab, Mahmoud - In: Review of Pacific Basin Financial Markets and Policies … 17 (2014) 04, pp. 1450021-1
We examine co-movements of nine Asian equity markets with both the US and Japan with special interest in distinguishing co-movements during periods of positive returns from those during periods of negative returns. A discrete asymmetric piecewise linear conditional mean returns specification is...
