Dynamic Behavior of Country Risk in the BRICS Countries: From the Perspective of Time-varying Correlation

  title={Dynamic Behavior of Country Risk in the BRICS Countries: From the Perspective of Time-varying Correlation},
  author={Yuying Yang and Xiaolei Sun and Xiaoqian Zhu and Jianping Li and Dengsheng Wu},
  journal={2012 Fifth International Conference on Business Intelligence and Financial Engineering},
Country risk is a quite important factor for international investment. Many institutions and researchers try to assess country risk by using numerous indicators and various evaluation models. This paper investigates the dynamic behavior of country risk in order to offer more detailed information of country risk to investors. First, country beta is taken as the proxy of country risk. Second, dynamic conditional correlation (DCC) model is used to calculate the time-varying beta. Considering the… CONTINUE READING

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