Abstract
This paper studies the Dynamic Conditional Correlation-GARCH model with asymmetries in volatilities and applies the model to estimate the time-varying conditional correlations of stock market returns between Greece and other 8 European countries from January 1st, 2001 through October 31st, 2012. The results show that the cross-market correlations have varied over time and there exist asymmetries in volatilities.
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Li, Z., Naka, A. (2015). The Study on Dynamic Conditional Correlation-GARCH Model and its Application. In: Gong, M., Linqiang, P., Tao, S., Tang, K., Zhang, X. (eds) Bio-Inspired Computing -- Theories and Applications. BIC-TA 2015. Communications in Computer and Information Science, vol 562. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-49014-3_22
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DOI: https://doi.org/10.1007/978-3-662-49014-3_22
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