International stock markets interactions and conditional correlations

Timescale-dependent stock market comovement: BRICs vs. developed markets

“…Previously, it has been used to study correlation structures for example by Chiang, Jeon and Li (2007), Syriopoulos andRoumpis (2009) andSavva (2009). DCC belongs to the family of multivariate GARCH models that are able to capture the time-varying nature of the correlations and can model large covariance matrices 4 .…”

Bubbles in China

“…DCC model by belongs to the family of the multivariate GARCH models and generalizes the constant conditional correlation method by providing an effective way to study the time variations in asset return correlations. It has gained popularity due to its several attractive features and has been applied for example by and Savva (2009).…”

“…Previously, it has been used to study correlation structures for example by , Syriopoulos andRoumpis (2009) andSavva (2009). DCC belongs to the family of multivariate GARCH models that are able to capture the time-varying nature of the correlations and can model large covariance matrices 31 .…”

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

“…β dcc measures the lingering effect of a shock impact on the conditional correlations, which means the persistency of the conditional correlation process. ρ ij,t measures the degree of covariance between two assets in relation to the market's individual variances (Savva, 2009). 15 The rule of thumb for misspecification test is that as long as there is consistency in the step 1 estimation of the DCC-MGARCH model, it will ensure estimation in step 2 is consistent and able to generate the true parameters (Engel, 2002).…”