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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How smooth is the stock market integration of CEE-3?
Eduard Baumöhl,Štefan Lyócsa +1 more
TL;DR: In this paper, the stock market integration of emerging CEE-3 stock markets (namely, the Czech, Hungarian, and Polish markets) was studied and the authors hypothesize that this process has been gradual over time.
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The contagion phenomena of the Brexit process on main stock markets
Ana Escribano,Cristina Íñiguez +1 more
TL;DR: In this paper, the impact of the Brexit process in the main global financial markets by investigating the effect of financial contagion between series of stock index returns is investigated. But the authors focus on the United Kingdom as a source of contagion and the remaining recipient markets.
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Time-varying contemporaneous spillovers during the European Debt Crisis
TL;DR: In this article, the authors consider contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provide evidence of bidirectional spillovers among these equity markets.
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Integración, contagio financiero y riesgo bursátil: ¿qué nos dice la evidencia empírica para el periodo 1995-2016?
TL;DR: In this paper, the spread between the main stock indices in the United States, Europe and Asia markets is detected. But there is considerable disagreement on definitions of the foundations and the mechanisms that link these asset returns.
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A Dynamic Analysis of the Integration of the Australian Stock Market with Those of Its Trading Partners
TL;DR: In this article, the authors investigate does foreign trade matter for the stock markets integration by segmenting Australian trade partners into three groups based on bilateral trade relations and explore time-varying correlations of pairwise stock market returns by employing asymmetric generalized DCC-GARCH models.
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.