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Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns

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  • Bera, Anil K.
  • Kim, Sangwhan

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  • Bera, Anil K. & Kim, Sangwhan, 2002. "Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 171-195, March.
    • Handle: RePEc:eee:empfin:v:9:y:2002:i:2:p:171-195
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    6. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
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