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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Journal ArticleDOI
Portfolio selection between a mature market and selected emerging markets indices in the presence of structural breaks
TL;DR: This paper examined the influence of the structural breaks on the optimal weights, hedge ratios and hedge effectiveness index (HEI) of risk-minimizing portfolios composed of S&P500 and selected emerging markets indices from East Europe, Asia and South America.
Posted Content
Contagion in the world's stock exchanges seen as a set of coupled oscillators
TL;DR: In this article, the authors study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindness to small changes". On large scale individual, the delay in the collective response may significantly change the dynamics of the overall system.
Dissertation
Return and volatility spillovers across financial markets in Central Europe
TL;DR: In this article, the authors studied the linkages among stock, bond and foreign exchange markets in the Czech Republic, Austria, Germany and Poland during the period from the beginning of the year 2007 to the end of 2014.
Posted Content
Common Decomposition of Correlated Brownian Motions and its Financial Applications.
TL;DR: In this paper, the authors developed a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownians are represented by a triplet of processes, where $X$ and $Y$ are independent Brownians, and the equivalent conditions for the triplet being independent.
Journal ArticleDOI
Correlation of stock market returns in the West African region from 2008 to 2016
TL;DR: In this article, the extent of correlation of stock market index returns in West Africa and those of the United States of America (US) and United Kingdom (UK) from 2008 to 2016 was assessed.
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.