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An investigation of return and volatility linkages among equity markets : a study of selected European and emerging countries

Yavas, Burhan F.; Dedi, Lidija - In: Research in international business and finance 37 (2016), pp. 583-596

Persistent link: https://www.econbiz.de/10011595408

European equity market integration and joint relationship of conditional volatility and correlations

Virk, Nader; Javed, Farrukh - In: Journal of international money and finance 71 (2017), pp. 53-77

Persistent link: https://www.econbiz.de/10011787669

European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …

Persistent link: https://www.econbiz.de/10011471074

The spillover effect on the CEE equity markets and the financial contagion In the context of financial integration

Boghicevici, Claudia; Stamule, Simona; Lolea, Iulian Cornel - In: Romanian journal of economic forecasting 24 (2021) 4, pp. 155-170

Persistent link: https://www.econbiz.de/10013407269

A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy

Daugherty, Mary Schmid; Jithendranathan, Thadavillil - In: Journal of multinational financial management 32/33 (2015), pp. 95-115

Persistent link: https://www.econbiz.de/10011540118

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Asymmetric dynamics in the correlations of global equity and bond returns

Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 537-572

Persistent link: https://www.econbiz.de/10003565737

Asymmetric dynamics in the correlations of global equity and bond return

Cappiello, Lorenzo - 2003

Persistent link: https://www.econbiz.de/10013434528

Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets : pre & post crisis

Vukovic, Darko B.; Lapshina, Kseniya A.; Maiti, Moinak - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013186510

Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study

Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

Persistent link: https://www.econbiz.de/10012695346

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