Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence
The paper models the dynamic conditional correlations in emerging stock, bond and foreign exchange markets using the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). The highly restrictive DCC model suggests that the conditional correlations of the overall returns are constant. In contrast, the GARCC model finds that the conditional correlations between bond-bond markets and between stock-stock markets are relatively constant across developed-emerging markets, while those between emerging-emerging markets are dynamic. The conditional correlations between stock-bond markets across developed-emerging markets are also more dynamic as compared with those between emerging-emerging markets.
|, , , , , , , ,|
|Erasmus School of Economics|
|Econometric Institute Research Papers|
|Report / Econometric Institute, Erasmus University Rotterdam|
|Organisation||Erasmus School of Economics|
Hakim, M.S, & McAleer, M.J. (2009). Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence (No. EI 2009-33). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–19). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/17296