structural changes in the tail dependences. We use data for the U.S., the U.K. and Australia for the period 1990-2010 as a basis …

This paper examines the changing correlations between the equity returns of Australia and the emerging equity markets … estimates of Asymmetric Dynamic Conditional Correlation Model, which allows correlations to change, have been used to test if … that the correlations between Australia's equity return and emerging markets' equity returns, represented by the respective …

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 …