Cross-market correlations and transmissi
β
Salim M. Darbar; Partha Deb
π
Article
π
2002
π
John Wiley and Sons
π
English
β 187 KB
## Abstract We investigate characteristics of crossβmarket correlations using daily data from U.S. stock, bond, money, and currency futures markets using a new multivariate GARCH model that permits direct hypothesis testing on conditional correlations. We find evidence that arrival of information i