This paper aims to test for structural breaks and dynamic changes in emerging market volatility. We typically relate these issues to stock market liberalization since the latter is often considered as one of the most important forces that promote economic growth and rapid maturation of the emerging markets of the world. Using a bivariate GARCH-M […]

We analyze the time-variations of conditional correlations between selected Latin American emerging markets and between them and the World stock market to further shed light on the issues of capital market integration and portfolio diversification. The cross-market correlations are empirically estimated from the Engle (2002)´s DCC-GARCH model. Bai and Perron (2003)´s structural break analysis technique […]