The main purpose of this paper is to derive the process of estimating dynamic RRA with the maximum likelihood and a Bayesian method having a weakly informative prior density while assuming that the log excess returns on the market are distributed as normal mixture, GARCH(1,1), Mixture GARCH (1,...

Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...