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Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets☆

TLDR
This article applied the Dynamic Conditional Correlation (DCC) multivariate GARCH model to examine the time-varying conditional correlations to the weekly index returns of seven emerging stock markets of Central and Eastern Europe.
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This article is published in International Review of Economics & Finance.The article was published on 2011-10-01. It has received 353 citations till now. The article focuses on the topics: Financial contagion & Eastern european.

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The Eurozone crisis and its contagion effects on the European stock markets

TL;DR: In this paper, the contagion effects of Greece, Ireland, Portugal, Spain and Italy on seven Eurozone and six non-Eurozone stock markets were examined. And the authors found that among these countries, Spain, Italy, Portugal and Ireland appeared to be the most contagious.
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Global risk spillover and the predictability of sovereign CDS spread: International evidence

TL;DR: This article used an error correction model to investigate the Granger causality in mean from the S&P option market to the sovereign CDS market in 98% of the 56 sovereigns investigated.
Journal ArticleDOI

Identifying the multiscale financial contagion in precious metal markets

TL;DR: In this paper, the authors examined the financial contagion from January 2000 to May 2018 in four precious metal markets (gold, silver, platinum, and palladium) on different time scales by combining the wavelet-based approach and the GARCH-EVT-based value-at-risk (VaR) model.
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International contagion through financial versus non-financial firms

TL;DR: This paper examined the role of financial firms in the transmission of financial shocks across countries using a dynamic conditional correlation analysis and found that non-financial firms play a more pronounced role in the cross-market transmission of shocks than financial firms.
Journal ArticleDOI

Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms

TL;DR: The authors examined the spillover effects of interest rate risk and return on Australian and US financial firms using a dynamic conditional correlation GARCH model and found that Australian banks exhibit negative exposure to changes in both domestic and US interest rates, and that US interest rate volatility is an important predictor of Australian bank stock return volatility.
References
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Journal ArticleDOI

Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models

TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.
Journal ArticleDOI

No Contagion, Only Interdependence: Measuring Stock Market Comovements

TL;DR: The authors showed that correlation coefficients are conditional on market volatility, and that there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash.
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No Contagion, Only Interdependence: Measuring Stock Market Co-Movements

TL;DR: In this article, the authors examined stock market co-movements and applied these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash.
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Extreme Correlation of International Equity Markets

TL;DR: This article showed that correlation is not related to market volatility per se but to the market trend and that correlation increases in bear markets, but not in bull markets, and they also showed that the distribution of extreme correlation for a wide class of return distributions can be derived using extreme value theory.
Journal ArticleDOI

Is the correlation in international equity returns constant: 1960–1990?

TL;DR: In this article, the authors studied the correlation of monthly excess returns for seven major countries over the period 1960-90 and found that the international covariance and correlation matrices are unstable over time.
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