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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Switching-GAS Copula Models for Systemic Risk Assessment
Mauro Bernardi,Leopoldo Catania +1 more
TL;DR: This work develops a new class of flexible Copula models where the evolution of the dependence parameters follow a Markov-Switching Generalised Autoregressive Score (SGASC) dynamics and shows that the proposed SGASC models are able to explain and predict the systemic risk contribution of several European countries.
Journal ArticleDOI
Return and Volatility Spillover across stock markets of China and its Major Trading Partners: Evidence from Shanghai Stock Exchange Crash
TL;DR: In this paper, the authors analyzed the return and volatility spillover effects of Shanghai Stock Exchange (SSE) crash to its major trading partners (MTPs) using Diebold and Yilmaz (2012) spillover index model.
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Dynamic co-movements and diversification benefits: The case of the Greater China region, the UK and the US equity markets
TL;DR: In this paper, the authors investigated the level of long-run co-movements and short-run dynamics among the Greater China region (Hong Kong SAR, Mainland China and Taiwan), the UK and the US stock markets.
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What guides Central and Eastern European stock markets? A view from detrended methodologies
Paulo Ferreira,Paulo Ferreira +1 more
TL;DR: The geopolitical and economic landscape of Central and Eastern European (CEE) countries has changed dramatically since the 1990s as mentioned in this paper, due to the fragmentation of some countries and the change from communist regimes.
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.
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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.
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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.