Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets☆
Citations
368 citations
304 citations
Cites methods from "Dynamic correlation analysis of fin..."
...Using a DCC–GARCH model, Syllignakis and Kouretas (2011) capture contagion effects among US and German stock markets and seven emerging Central and Eastern Europe markets....
[...]
203 citations
172 citations
Cites background from "Dynamic correlation analysis of fin..."
...…which in general term defined as the spread of financial shocks from one country to others (see Ang and Bekaert, 1999; Chiang et al., 2007; Dooley and Hutchison, 2009; Forbes and Rigobon, 2002; Lessard, 1973; Longin and Solnik, 1995, 2001; Solnik, 1974; Syllignakis and Kouretas, 2011 etc.)....
[...]
141 citations
Cites background from "Dynamic correlation analysis of fin..."
...Much of this work has been guided by research relating to the direct effects of volatility transmission and contagion as measured through dynamic correlation analyses (Syllignakis and Kouretas (2011)) and broad behaviour through extreme financial market events....
[...]
References
5,695 citations
"Dynamic correlation analysis of fin..." refers background or methods in this paper
...We conducted our analysis with the application of the Dynamic Conditional Correlation (DCC) multivariate GARCH models developed by Engle (2002)....
[...]
...In this paper we apply the multivariate GARCH model proposed by Engle (2002), to estimate dynamic conditional correlations (DCC) between the Central and Eastern European stock market returns and those of the US, Germany and Russia respectively....
[...]
...As proposed by Engle (2002), the log-likelihood of the estimators can be written as: 2 1 1 1 1 1 ( ) [( log(2 ) log ) (log )] (4) 2 T t t t t t t t t t t t t L n D D D R R...
[...]
...We conducted our analysis with the application of the Dynamic Conditional Correlation (DCC) multivariate GARCH models developed by Engle (2002). We then looked into the impact that the 1997-1998 Asian and...
[...]
...In this paper we apply the multivariate GARCH model proposed by Engle (2002), to estimate dynamic conditional correlations (DCC) between the Central and...
[...]
3,389 citations
"Dynamic correlation analysis of fin..." refers background in this paper
...1 Forbes and Rigobon (2002) define contagion as significant increases in cross market co-movement, while any continued high degree of market correlation suggests strong linkages between the two economies and is considered to be interdependence....
[...]
3,038 citations
2,204 citations
"Dynamic correlation analysis of fin..." refers background in this paper
...According to Ang and Bekaert (1999) and Longin and Solnik (1995, 2001), correlations among market returns tend to decline in bull markets and to rise in bear markets....
[...]
1,998 citations