Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework

Global Finance Journal

Volumn 19, Issue 3, 2009, Pages 203-218

  Bhar, Ramaprasad ^a   Nikolova, Biljana ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b NATIONAL AUSTRALIA BANK   (Australia)

Author keywords

BRIC; Dynamic correlation; Market integration; Volatility spillover

Indexed keywords

EID: 59649110457     PISSN: 10440283     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.gfj.2008.09.005     Document Type: Article

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