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
Insights Into Financial Contagion: A Bibliometric Study
TL;DR: In this article , bibliometric analysis has been employed to summarize the present status and to identify significant gaps in the prevalent literature on financial contagion, which has witnessed an exponential growth over the last two decades due to increase of interdependence among financial markets of various countries.
Book ChapterDOI
The Study on Dynamic Conditional Correlation-GARCH Model and its Application
Ziyu Li,Atsuyuki Naka +1 more
TL;DR: The results show that the cross-market correlations have varied over time and there exist asymmetries in volatilities.
Journal ArticleDOI
Relationship between Correlations and Volatilities of Global Equity Returns: An Empirical Study of the Eurozone Debt Crisis
TL;DR: In this article, the authors investigated the relationship between correlations of global equity returns and volatilities, in which equity markets are divided into two areas: one is PIIGS area (Portugal, Italy, Ireland, Greece and Spain) and the other is non-PIIGs area.
The dynamic evolution of stock market integration between China, Japan and South Korea. What are the key determinants of regional stock market integration between these countries?
Heinz Munzinger,Shangjie Liu +1 more
TL;DR: In this paper, the authors investigated the dynamic evolution of the conditional correlation between the stock markets of China, Japan and South Korea by using the DCC-MGARCH model and investigated the key determinants of regional stock market integration by using a linear equation framework.
Book ChapterDOI
Does Development Level of Stock Market Affect the Degree of Global and Regional Integration? Evidence from the Central and Eastern European Countries Stock Markets
TL;DR: In this article, the authors assess the impact of stock market development on the degree of global and regional integration of Central and Eastern European countries (CEECs) stock markets and find that the stock markets in Poland, Czech Republic, Hungary, and Croatia are most developed CEECs stock 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.