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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Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold
TL;DR: In this article, the authors employ a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000 to 2011.
Journal ArticleDOI
Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
TL;DR: In this paper, the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997-2012 were investigated.
Journal ArticleDOI
The more contagion effect on emerging markets: The evidence of DCC-GARCH model
TL;DR: In this article, the authors test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis and find that emerging markets seem to be the most influenced by the contagion effects.
Journal ArticleDOI
Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?
TL;DR: In this paper, the contagion effects of GIPSI (Greece, Ireland, Portugal, Spain and Italy), USA, UK and Japan markets on BRIICKS (Brazil, Russia, India, Indonesia, China, South Korea and South Africa) stock markets were examined.
Journal ArticleDOI
Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre
TL;DR: In this paper, the authors used Chinese-developed data based on long-standing influenza indices, and the more recently developed coronavirus and face mask indices, to test for the presence of volatility spillovers from Chinese financial markets upon a broad number of traditional financial assets during the outbreak of the COVID-19 pandemic.
References
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Journal ArticleDOI
Stock market integration for the transition economies: time-varying conditional correlation approach
Ping Wang,Tomoe Moore +1 more
TL;DR: Wang et al. as mentioned in this paper proposed a time-varying conditional correlation approach for stock market integration for the transition economies, which was shown to be effective in the case of the UK stock market.
Journal ArticleDOI
Currency crisis contagion and the identification of transmission channels
Fasika Damte Haile,Susan Pozo +1 more
TL;DR: This article found that countries face currency crises because of unsustainable macroeconomics fundamentals and contagion, and the probability of a crisis in a given country increases as the number of its neighboring countries in crisis increases implying the presence of neighborhood effects in the contagious spread of crisis.
Journal ArticleDOI
A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers
TL;DR: This paper examined the international stock market correlations between Japan vis-a-vis the Asian Four Tigers (Taiwan, Singapore, Hong Kong, and South Korea) using Engle's (2002) dynamic conditional correlation (DCC) analysis.
Posted Content
Co-Movements of European Equity Markets Before and After the 1987 Crash
Ilhan Meric,Gulser Meric +1 more
TL;DR: The authors studied the changes in the co-movements of the twelve largest European equity markets after the 1987 international equity market crash Tests based on Box M and principal component analysis indicate that the comovements of these equity markets changed significantly after the crash.
Posted Content
International Asset Allocation with Time-Varying Correlations
Andrew Ang,Geert Bekaert +1 more
TL;DR: In this article, the authors solve the dynamic portfolio choice problem of a US investor faced with a time-varying investment opportunity set which may be characterized by correlations and volatilities that increase in bad times.