The key objective of this study is to show that two potential shortcomings of the Determinant of Change in Covariance (DCC) matrix procedure of Rigobon (2003), namely with the arbitrary determination of the windows, i.e. tranquil and crisis periods and the violation of its heteroscedasticity...

The possible crucial role of international bank lending in transmitting adverse economic disturbance from developed economies to emerging economies in the 2008 - 2009 global financial crisis has placed capital flows into sharper scrutiny in academic and policy discussions. The authors construct...