Tamakoshi, Go; Toyoshima, Yuki; Hamori, Shigeyuki - In: Economics Bulletin 32 (2012) 1, pp. 437-448
By using the asymmetric dynamic conditional correlation model developed by Cappiello et al. (2006), we examine how the time-varying correlations between Greece and other six European countries (Germany, France, UK, Ireland, Italy, and Spain) evolved from January 2007 to March 2011. The main...