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Stock market comovements in Central Europe: Evidence from the asymmetric DCC model
Gjika, Dritan; Horváth, Roman - In: Economic Modelling 33 (2013) C, pp. 55-64
We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis-à-vis the...
Persistent link: https://www.econbiz.de/10011048879
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Stock market comovements in Central Europe: Evidence from asymmetric DCC model
Gjika, Dritan; Horváth, Roman - 2012
We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis-a-vis the...
Persistent link: https://www.econbiz.de/10010318421
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Stock market comovements in Central Europe : evidence from the asymmetric DCC model
Gjika, Dritan; Horváth, Roman - In: Economic modelling 33 (2013), pp. 55-64
Persistent link: https://www.econbiz.de/10010192060
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Stock market comovements in Central Europe: Evidence from the asymmetric DCC model
Gjika, Dritan; Horváth, Roman - In: Economic modelling 33 (2013), pp. 55-64
Persistent link: https://www.econbiz.de/10010161378
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Stock market comovements in central Europe : evidence from Asymmetric DCC Model
Gjika, Dritan; Horváth, Roman - 2012
We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis-a-vis the...
Persistent link: https://www.econbiz.de/10009615081
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Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model
Gjika, Dritan; Horvath, Roman - William Davidson Institute, University of Michigan - 2012
We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis–à–vis...
Persistent link: https://www.econbiz.de/10010570285
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Stock Market Comovements in Central Europe : Evidence from Asymmetric DCC Model
Gjika, Dritan - 2012
We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis–à–vis...
Persistent link: https://www.econbiz.de/10013096626