In this study we examining the time dependent nature of volatility and cross-correlation of Australian equity returns … data. Volatility and correlation estimates are calculated using methods that allow for non-stationary behaviour. By … averaging the estimates across the entire data set we show that the correlation in ASX stock returns displays evidence of …

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 …