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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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
Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs
TL;DR: In this article, the authors investigated the underlying determinants of cross-country stock return correlations and proposed a framework that contains a statistical model for output and an intertemporal financial market model for stock returns.
Journal ArticleDOI
Are correlations of stock returns justified by subsequent changes in national outputs
TL;DR: In this article, the authors investigated the underlying determinants of cross-country stock return correlations and proposed a framework that contains a statistical model for output and an intertemporal financial market model for stock returns.
Posted Content
Co-Movements of European Equity Markets Before and After the 1987 Crash
Ilhan Meric,Gulser Meric +1 more
TL;DR: In this paper, the authors studied the changes in the co-movements of the twelve largest European equity markets after the 1987 international equity market crash and found that the benefits of international diversification with these twelve European equities decreased considerably after the crash.
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International portfolio diversification to Central European stock markets
TL;DR: In this paper, the presence of short and long-run linkages among major emerging Central European stock markets, namely Poland, Czech Republic, Hungary, and Slovakia, as well as developed markets, particularly Germany and the USA, is investigated.
Journal ArticleDOI
Financial market spillovers in transition economies
Gaston Gelos,Ratna Sahay +1 more
TL;DR: In this paper, the authors examine financial market comovements across European transition economies and compare their experience to that of other regions, showing that the financial markets of the more advanced transition economies can behave more and more like their Asian and Latin American counterparts.