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Shock around the clock - on the causal relations between international stock markets, the strength of causality and the intensity of shock transmission: an econometric analysis
Dornau, Robert - 1998
This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible...
Persistent link: https://www.econbiz.de/10010297581
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The threat of systemic risk in banking: evidence for Europe
Schüler, Martin - 2002
on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns …
Persistent link: https://www.econbiz.de/10010298100
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Systemic Risk in European Banking: Evidence from Bivariate GARCH Models
Schüler, Martin; Schröder, Michael - 2003
conditional correlations between European bank stock indices. These correlations are used as an indication for the …
Persistent link: https://www.econbiz.de/10010298129