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
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Modélisation GARCH multivariée pour les variables climatiques et hydrologiques.
TL;DR: In this article, the MGARCH (generalized autoregressive conditional heteroscedasticity) model is used to model the nonlinear relationship between hydrologic variables through space and time.
Dissertation
Another Look at Stock Return Comovement: Some New Evidence and Test
TL;DR: Another Look at Stock Return Comovement: Some New Evidence and Test as mentioned in this paper, some new evidence and test for stock return co-commitment, and some new empirical studies.
Journal ArticleDOI
Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case
TL;DR: In this paper, the impact of the stage of the economy on these interdependencies, in concrete, on the influence of the 2008 Global Financial Crisis was analyzed, using a nonlinear autoregressive distributed lag approach in the sample period between January 1998 to December 2018.
Journal ArticleDOI
Propagation of economic shocks from Russia and Western European countries to CEE-Baltic countries.
TL;DR: In this paper, the relative importance of Russia and Western European countries on Central and East European and Baltic (CEE-Baltic) countries was investigated by quantifying and comparing the spillover effects of growth and trade shocks coming out of Russia.
Journal ArticleDOI
European Equity Market Contagion: An Empirical Application to Ireland’s Sovereign Debt Crisis
Shaen Corbet,Cian Twomey +1 more
TL;DR: In this paper, the authors examined the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis and found that strong contagion effects were uncovered between Irish equity markets and the investigated European equity markets.
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.