Browsing Master theses by Author "Rafiq Maniya, Suleman"
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Bear Periods Amplify Correlation: A GARCH BEKK Approach
Rafiq Maniya, Suleman; Magnusson, Fredrik (2010-06-24)The aim of this paper is to see how correlation changes across time across different indices. We have used a sufficiently large benchmark period of 20 years to have a better understanding as to how correlations1have changed. ...