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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