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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Calm before the storm: an early warning approach before and during the COVID-19 crisis
TL;DR: In this article, a means of visualizing the vulnerability of complex systems of financial interactions resulting from the changing risk tolerance of investors is developed. But the authors do not consider the impact of the Covid-19 pandemic on the dynamics of systemic crisis transmission.
Posted Content
An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT Wavelet approaches
Thaqif Kamaruzdin,Mansur Masih +1 more
TL;DR: In this paper, the authors investigate the stability of the Islamic Financial Services Institutions (IFSIs) in comparison to the conventional sector and find that IFSIs are much more volatile than their competitors with seemingly independent spikes in volatility unique to themselves but are low in correlation to the market.
Journal ArticleDOI
Nexus Between Sectoral Shift and Stock Return: Insights From Bangladesh
TL;DR: In this article, the authors examined the impact of sectoral shift on the stock return of Bangladesh by employing auto-regressive distributive lag (ARDL) approach using the weekly data of various sectoral indices of Bangladesh over the period from May 1999 to September 2016.
Dissertation
Volatility and Return Spillovers in International Financial Markets
TL;DR: In this paper, the authors examined the instantaneous transmission of volatility, namely, contemporaneous spillover effects between the US and UK stock markets, using high frequency data and focusing on the overlapping trading hours among stock markets.
Journal ArticleDOI
Chemical industry disasters and the sectoral transmission of financial market contagion
TL;DR: In this paper, the authors examined the sectoral consequences of industrial incidents in the United States, that is, the spillover effects of an industrial incident on firms operating in similar industrial operations.
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.
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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.
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.