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
More filters
Journal Article
The Effects of the Latin American Integrated Market (MILA) on the Foreign Exchange of Colombia, Peru and Chile
Cristhian Mellado,Sergio García +1 more
TL;DR: In this article, foreign exchange rate pairings between participants in the Latin American Integrated Market (MILA) are analyzed for changes in correlation following implementation of MILA operations, and they find evidence through a DCC-GARCH that the conditional correlations decrease after MILA is established.
Journal ArticleDOI
Univariate and Bivariate Volatility in Central European Stock Markets
TL;DR: In this article, the authors examined if the volatility exhibits a symmetric or an asymmetric response to past shocks, particularly the relevance of structural breaks for Central European (hereinafter referred to as "CEE") stock markets.
Journal ArticleDOI
Financial contagion effects of major crises in African stock markets
TL;DR: In this article , the authors examined contagion effects in African stock markets during major crises over the period 2005 to 2020 and found that the regional impacts of crises differ due to the nature of those crises.
Posted Content
Dynamic Analysis of Time-Varying Correlations and Cointegration Relationship between Australia and Frontier Equity Markets
TL;DR: In this article, the authors investigated the long-run relationship between Australian stock market and frontier markets and found that Australia has weak correlations with all the frontier markets that are considered in this study.
Journal ArticleDOI
Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios
TL;DR: In this paper , the S&P 500 market is decomposed into discrete conditions of: (1) tranquil versus turbulent volatility; (2) bull versus bear market phases; (3) normal periods versus asset bubbles and crashes.
References
More filters
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.