Macroeconomic Performance in a Globalising Economy Edited by Robert Anderton Geoff Kenny CAMBRIDGE UNIVERSITY PRESS Contents List of figures page vii v List of tables ...

Although there have been major globalisation episodes prior to the current one, previous globalisation experiences did not seem as pervasive as the episode which began in the last quarter of the twentieth century. It is claimed that the current globalisation wave is causing social disruption:...

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...