Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent economics & finance 7 (2019) 1, pp. 1-31
correlation (ADCC)-EGRARCH framework, we find that the average correlation between BRIS currencies in the pre-crisis period is low … and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …