this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear … recommended model building approach. The modelling cycle is illustrated using daily return series for Australia's four largest …

that the affect of GFC on the correlations of Australia and frontier markets are limited to only few markets where … correlations increased to some extent. Results also demonstrate that the GFC has no influence on the correlations of Australia and … frontier markets of Asia. The cointegration test results display that there is no evidence of long-run relationship between …