This study applies the asymmetric dynamic conditional correlation (A-DCC) model in order to investigate the correlation dynamics among the Greek market and Eurozone during the recent debt crisis. Moreover, research employs copula functions in order to measure the correlation among Greek and...

This study applies the asymmetric dynamic conditional correlation (A-DCC) model and employs copula functions to investigate the correlation dynamics among the Greek and European markets during the recent debt crisis. The Greek debt crisis occurred after the subprime mortgage crisis. Up to that...