Beirne, J; Caporale, GM; Schulze-Ghattas, M; Spagnolo, N - 2009
This paper examines global (mature market) and regional (emerging market) spillovers inlocal emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimatedfor 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the MiddleEast. The models capture a range of...