This paper analyzes the co-movements and integration of some select Asian foreign exchange markets using both time series and time-frequency approaches. The correlation structure between forex markets, and the time domain information on varying correlations, is captured using the multivariate...

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2,...

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2,...