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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Time-varying beta during the 2008 financial crisis – evidence from North America and Western Europe
TL;DR: In this paper, the authors analyzed the impact of the global financial crisis on the conditional beta in the region of North America and Western Europe and the effect on the behavior and decisions of the investor.
Journal ArticleDOI
How Has the Behavior of Cross‐Market Correlations Altered During Financial and Debt Crises?
Sercan Demiralay,Veysel Ulusoy +1 more
TL;DR: This paper analyzed the time-varying behavior of cross-market correlations between emerging and developed markets and found that the correlation levels significantly increase and the emerging markets recouple in the latest two turmoil episodes, providing evidence of contagion incidences.
Journal ArticleDOI
Time-varying Co-Movement And Volatility Transmission Between The Oil Price And Stock Markets In The Baltics And Four European Countries
TL;DR: In this article, the authors explored time-varying co-movement and volatility transmission between three Baltic stock markets and two international crude oil indices (Brent and West Texas Intermediate (WTI)).
Posted Content
Can we still benefit from international diversification? The case of the Czech and German stock markets
Krenar Avdulaj,Jozef Baruník +1 more
TL;DR: In this article, the authors build an empirical model which combines generalised autoregressive score copula functions with high frequency data, and allows them to capture and forecast the conditional time-varying joint distribution of stock returns.
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The Impact of Global Financial Crisis on IPO Underpricing in Malaysian Stock Market
Hon-Wei Leow,Wee-Yeap Lau +1 more
TL;DR: In this article, the impact of global financial crisis (GFC) on initial public offering (IPO) underpricing in an emerging market from January 2006 to December 2011 was examined.
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.
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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.
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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.