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
Citations
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Journal ArticleDOI
Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries
Hyeongwoo Kim,Bong-Han Kim +1 more
TL;DR: In this paper, the authors estimate dynamic conditional correlations of financial asset returns across countries by an array of multivariate GARCH models and analyze spillover effects of the recent US financial crisis on 5 emerging Asian countries.
Journal ArticleDOI
Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model
Dritan Gjika,Roman Horvath +1 more
TL;DR: In this article, the authors examined time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model and found that the correlations among stock markets in central Europe and between Central Europe vis-a-vis the euro area are strong.
Journal ArticleDOI
Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries
TL;DR: This article examined spillover effects of the recent U.S. financial crisis on five emerging Asian countries by estimating conditional correlations of financial asset returns across countries using multivariate GARCH models.
Journal ArticleDOI
Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model
Dritan Gjika,Roman Horvath +1 more
TL;DR: In this paper, the authors examined time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model and found that the correlations among stock markets in central Europe and between Central Europe vis-a-vis the euro area are strong.
Journal ArticleDOI
Global financial crisis and emerging stock market contagion: A volatility impulse response function approach
Xiaoye Jin,Ximeng An +1 more
TL;DR: In this article, the authors present a general framework for addressing the extent of contagion effects between BRICS and U.S. stock markets and how the BRICS stock markets have been influenced in the context of the 2007-2009 global financial crisis.
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.
Posted Content
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.
Journal ArticleDOI
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.