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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Modelación y comovimientos de la tasa de cambio colombiana, 2011-2017
TL;DR: In this article, the authors investigated the effect of the incorporation of significant exogenous variables within the ARIMA-GARCH model with persistent correlation according to the Dinamic Conditional Correlation model to the USD/COP pair.
Journal ArticleDOI
Exchange-Traded Funds Investing in the European Emerging Markets
Jitka Hilliard,Thanh Dat Le +1 more
TL;DR: In this paper , the authors examined ETFs investing in the equity of emerging European countries and found that the low correlation of their returns with developed countries and lack of flow sensitivity to the US market volatility suggests that they may be underutilized means of international diversification by investors from developed countries.
Journal ArticleDOI
Dynamic Conditional Correlation Analysis in Asia Pacific and Latin America´s Equity Market: Interdependence and Contagion
Ossi Ferli,Zaafri Ananto Husodo +1 more
TL;DR: In this article, the authors analyzed dynamic correlation in daily equity price data on thirteen Asia Pacific countries and five Latin America countries for period of 2003 to 2012 and identified two crisis periods in their research.
International Dependence and Contagion across Asset Classes: The Case of Poland*
Bank Polski,Cardinal Stefan +1 more
TL;DR: In this paper, the authors investigate the linkages between international financial markets and Poland, including stocks, bonds and foreign exchange, in a static copula framework, allow for asymmetry of tail behavior and use tail dependence as a measure of contagion.
Dissertation
Co-exceedances in stocks and bonds between Southern European Countries and CEE Countries - Analysis of contagion
TL;DR: In this paper, a quantile regression framework is applied to analyse contagion based on measuring of occurrences and degrees of co-exceedances, and conditional variance (volatility) of analysed markets to find direction of the contagion.
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.