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LONG AND SHORT-RUN LINKAGES IN CEE STOCK MARKETS: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION AND STOCK MARKET INTEGRATION

Syllignakis, Manolis; Kouretas, Georgios - William Davidson Institute, University of Michigan - 2006

. Contrary, the Estonian and Romania markets are segmented. A DCC model indicates that the short – term interdependencies between …

Persistent link: https://www.econbiz.de/10005677583

The influence of terrorism risk on stock market integration : evidence from eight OECD countries

Narayan, Seema; Le, T.-H.; Sriananthakumar, Sivagowry - In: International review of financial analysis 58 (2018), pp. 274-259

Persistent link: https://www.econbiz.de/10012006460

An analysis of CEE equity market integration and their volatility spillover effects

Ngo Thai Hung - In: European journal of management and business economics : … 29 (2020) 1, pp. 23-40

/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the … multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature …

Persistent link: https://www.econbiz.de/10012182589

Capital markets integration and cointegration : testing for the correct specification of stock market indices

Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20

In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...

Persistent link: https://www.econbiz.de/10012171036

Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data

Egert, Balazs; Kocenda, Evžen - 2005

We analyze interrelations between three stock markets in Central and Eastern Europe and, in addition, interconnections which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European stock markets (BUX, PX-50, WIG20). The novelty of our paper rests mainly on the use of...

Persistent link: https://www.econbiz.de/10009476872

Transition in Russia: It's Happening

Berkowitz, Daniel; DeJong, David N.; Husted, Steven - 1997

Working with 110 pairs of time series of state and market commodity prices in Russia, we search for signs of transition in Russia from a command to a market economy. Beginning with inter-city comparisons of state and market prices, we find that differences in the levels of these prices have...

Persistent link: https://www.econbiz.de/10009477244

Do stock market volatility and cybercrime affect cryptocurrency returns? Evidence from South African economy

Mthembu, Nosipho; Sanusi, Kazeem Abimbola; Eita, Joel … - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-15

correlation (DCC GARCH) and Bayesian liner regression model to investigate time-varying correlations among the variables …

Persistent link: https://www.econbiz.de/10014332745

Drivers of capital inflow: Does global uncertainty matter?

Sanusi, Kazeem Abimbola; Kapingura, Forget Mingiri - In: Cogent Business & Management 9 (2022) 1, pp. 1-20

). The study employed the Dynamic Conditional Correlation (DCC GARCH) to investigate time-varying correlation among the …

Persistent link: https://www.econbiz.de/10014505602

Structural dynamic conditional correlation

Weber, Enzo - 2008

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several variables, this model considers interaction in the...

Persistent link: https://www.econbiz.de/10010263754

Ten Things you should know about DCC

Caporin, Massimiliano; McAleer, Michael - 2013

Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the … standardized residuals, and hence does not yield dynamic conditional correlations; DCC is stated rather than derived; DCC has no …

Persistent link: https://www.econbiz.de/10010326244