Times of financial turmoil and uncertainty occur with notable regularity. Affected markets generally witness an increase both in the co-movement of their returns and in their volatility levels. This research project employs a dynamic parameter for the modelling of the closeness between a global sample of countries to demonstrate the evolution of global equity market linkages over time.
The working paper is currently available at SSRN: https://www.zeppelin-university.com/chairs/oekono/
The working paper is currently available at SSRN:
The working paper is available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3644295