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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Dissertation
Selected aspects of price formation in commodity markets
TL;DR: In this paper, the authors investigated the ability of crude oil to act as a safe haven asset for investors in equity markets around the start of international violent conflicts and wars, and found that crude oil prices register a significant abnormal rise around the beginning of violent conflicts, and a significant portion of this abnormal increase accumulates well before the outbreak of crises.
Journal ArticleDOI
How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?
TL;DR: In this article, the spillover effects of the European Central Bank's (un)conventional monetary policies on the exchange rate, sovereign bond and equity markets of the Czech Republic, Hungary and Poland are investigated.
Journal ArticleDOI
Spillover effects of trade shocks in the Central and Eastern European and Baltic countries.
TL;DR: In this article, a trade shock occurring in each Central and Eastern European and Baltic country affect the economic growth and inflation of other CEE-Baltic countries, and the authors investigate the impact of trade shocks on the economic performance of these countries.
Journal ArticleDOI
Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Zouheir Mighri,Faysal Mansouri +1 more
TL;DR: In this article, the authors examined the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US from January 2003 to December 2013, and showed that the plunging stock market in the US, in the aftermath of global financial crisis (2007-2009), exerts contagion effects on emerging stock markets.
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Industry co-movement and cross-listing: Do home country factors matter?
TL;DR: In this article, the co-movement of American depositary receipts and the industry returns of home and U.S. markets with a focus on industry comovement by applying time-varying and constant copulas model specifications was investigated.
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.