Hakim, Abdul; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 9, pp. 2830-2846
The paper forecasts conditional correlations between three classes of international financial assets, namely stock, bond and foreign exchange. Two countries are considered, namely Australia and New Zealand. Forecasting will be conducted using three multivariate GARCH models, namely the CCC model...