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Keywords: DCC-EGARCH model
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Journal Articles
Academia Revista Latinoamericana de Administracion (2025) 38 (2): 361–378.
Published: 24 March 2025
... Correlation (DCC-EGARCH) model is applied to measure time-varying correlations among stock indices from countries in the Americas. Network measures—Normalized Tree Length (NTL), Average Path Length (APL) and Mean Occupation Layer (MOL)—are used to track shifts in market connectivity. At the same time, the Bai...
