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...

An asymmetric conditional mean returns model describing co-movements of three major European stock markets with the U.S. stock market is estimated. Multivariate conditional heteroskedasticity is captured by a VAR(p)-MGARCH(p,q)-BEKK parameterization. Conditional Sharpe ratios from alternative...