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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The impact of the financial crisis on long memory: evidence from european banking indices
TL;DR: In this article, the authors analyzed the impact of financial crisis on the existence of the long term dependency for European banking indices and found that major financial crisis such as, Mexican, Asian and Russian, Argentine crisis and Global crisis from 2008-2009 had different effects on long memory.
Journal ArticleDOI
Exchange Markets and Stock Markets Integration in Latin-America
Jorge Andrés Muñoz Mendoza,Carmen Lissette Veloso Ramos,Sandra María Sepúlveda Yelpo,Carlos Leandro Delgado Fuentealba,Edinson Cornejo Saavedra +4 more
TL;DR: In this paper , the authors analyzed the relationship between the exchange markets and the integration process of the Latin American stock markets (MILA), focusing the analysis on two points: the existence and nature of exchange risk premium and its relationship with the uncovered interest parity (UIP) bias.
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Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models
TL;DR: In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test.
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Measuring Dynamics of Risk and Performance of Sector Indices on Zagreb Stock Exchange
TL;DR: In this article, the authors evaluate the recent dynamics of risk and performance of five sector indices on ZSE by employing MGARCH (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) models empirically, and the results indicate that in the observed period from February 4th 2013 to October 13th 2015 portfolios based on MGARCH methodology outperform other portfolios in terms return and risk.
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Time-varying Stock Market Integration and Diversification Opportunities within Developed Markets Using Aggregated Data Approach
TL;DR: In this article , the authors examined the time-varying feature of Developed stock markets to identify diversification opportunities and found that there are few short and long-run opportunities for international investors in the post-crisis period that are more relevant.
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.
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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.
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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.
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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.