Journal ArticleDOI
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.About:
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.read more
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Virtual Integration of Financial Markets: A Dynamic Correlation Analysis of the Creation of the Latin American Integrated Market
Cristhian Mellado,Diego Escobari +1 more
TL;DR: In this article, the role of virtual integration of financial markets on stock market return co-movements was investigated and strong evidence that the creation of the MILA increased the levels of dynamic correlation between stock returns.
Journal ArticleDOI
Contagion channels of the USA subprime financial crisis
TL;DR: In this article, the authors investigated empirically contagion channels of the 2007 US subprime financial crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.
Journal ArticleDOI
Time-frequency co-movements between the largest nonferrous metal futures markets
TL;DR: In this paper, the authors apply wavelet coherence analysis to nonferrous metal futures markets in Shanghai and London, and show that London's non-ferrous futures market generally leads Shanghai's market, especially in the medium-run.
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On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach
Heni Boubaker,Nadia Sghaier +1 more
TL;DR: In this article, the authors examined the dynamic dependence between American and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global financial crisis 2007-2009.
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Are Islamic stocks immune from financial crises? Evidence from contagion tests
TL;DR: In this article, the contagion effects of the financial crisis on Islamic stock indexes were assessed by using contemporary econometric techniques, showing that Islamic stocks cannot be used as a haven asset during financial turmoil.
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
François Longin,Bruno Solnik +1 more
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?
François Longin,Bruno Solnik +1 more
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.