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~subject:"Financial crisis"
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Search: subject:"DCCGARCH"
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Financial crisis
DCC-GARCH
182
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Gómez González, José Eduardo
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ECONIS (ZBW)
32
RePEc
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1
Cross-market correlations and financial contagion from developed to emerging economies : a case of COVID-19 pandemic
Siddiqui, Taufeeque Ahmad
;
Khan, Mazia Fatima
;
Naushad, …
- In:
Economies : open access journal
10
(
2022
)
6
,
pp. 1-12
-varying multivariate
DCC-GARCH
model. The findings confirm that certain emerging markets are experiencing contagion from developed markets …
Persistent link: https://www.econbiz.de/10013256277
Saved in:
2
Systemic risk, contagion and risk factors in the Tunisian banking system context : measures and determinants
Chakroun, Mohamed Amin
;
Gallali, Mohamed Imen
- In:
Afro-Asian Journal of Finance and Accounting : AAJFA
14
(
2024
)
2
,
pp. 246-280
Persistent link: https://www.econbiz.de/10014545417
Saved in:
3
Measuring systemic risk of china's listed banks
Zhang, Ping
;
Wang, Yiru
;
Zhao, Min
;
Yang, Tzu-Yi
- In:
Financial studies
25
(
2021
)
3
,
pp. 6-29
significantly smaller than the result from the quantile regression method. Compared with the
DCC-GARCH
model, a simple GARCH model …
Persistent link: https://www.econbiz.de/10012664694
Saved in:
4
Diversification gains for a home biased trader in the emerging and frontier equity markets
Narayan, Seema
;
Srianathakumar, Sivagowry
;
Maheshwari, …
- In:
Bulletin of monetary economics and banking
24
(
2021
)
3
,
pp. 385-414
Persistent link: https://www.econbiz.de/10012664859
Saved in:
5
Volatility spillover and international contagion of housing bubbles
Bago, Jean-Louis
;
Akakpo, Koffi
;
Rherrad, Imad
; …
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
7
,
pp. 1-14
the multivariate time-varying
DCC-GARCH
model. Third, we assess bubble contagion by estimating a non-parametric model of …
Persistent link: https://www.econbiz.de/10012622423
Saved in:
6
Is the COVID-19 pandemic more contagious for the Asian stock markets? : a comparison with the Asian financial, the US subprime and the Eurozone debt crisis
Chopra, Monika
;
Mehta, Chhavi
- In:
Journal of Asian economics
79
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013431209
Saved in:
7
Search for safe havens and resilience to global financial volatility : response of GCC equity indexes to GFC and Covid-19
Hassan, M. Kabir
;
Kamran, Muhammad
;
Djajadikerta, …
- In:
Pacific-Basin finance journal
73
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013389084
Saved in:
8
Safe havens in Islamic financial markets : COVID-19 versus GFC
Hassan, M. Kabir
;
Djajadikerta, Hadrian Geri
; …
- In:
Global finance journal
54
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013470114
Saved in:
9
Diversification power of real estate market securities : the role of financial crisis and dividend policy
Ilbasmis, Metin
;
Gronwald, Marc
;
Zhao, Yuan
-
2018
This paper investigates dynamic conditional correlations between stock and REIT markets in both Turkey and the U.S. We use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly frequencies. Our contribution is threefold. First, we...
Persistent link: https://www.econbiz.de/10011845163
Saved in:
10
Contagion risks in emerging stock markets : new evidence from Asia and Latin America
Thi Bich Ngoc Tran
- In:
Journal of risk and financial management : JRFM
11
(
2018
)
4
,
pp. 1-20
apply dynamic conditional correlation models (
DCC-GARCH
(1,1)) to daily stock-index returns of eight Asian stock markets, six …
Persistent link: https://www.econbiz.de/10011960394
Saved in:
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