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European Equity Market Contagion: An Empirical Application to Ireland’s Sovereign Debt Crisis
Corbet, Shaen; Twomey, Cian - In: European Financial and Accounting Journal 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 … this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …
Persistent link: https://www.econbiz.de/10011478761
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Europe Needs More than a Capital Markets Union: Focus on the Integration of Euro Area Sovereign Debt Markets
Breitenfellner, Andreas; Schuberth, Helene - In: Vierteljahrshefte zur Wirtschaftsforschung 86 (2017) 2, pp. 9-20
With a view to establishing a Capital Markets Union (CMU), efforts to integrate (private) capital markets and private risk-sharing in the European Union are underway. However, the single (capital) market will be burdened by a perennial potential threat to sovereign bond market stability in the...
Persistent link: https://www.econbiz.de/10012054624
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Volatility and co-movements of the equity markets in Central Europe: Evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and Environmental Studies (E&ES) 18 (2018) 2, pp. 499-513
positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …
Persistent link: https://www.econbiz.de/10011984362
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Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18
: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …
Persistent link: https://www.econbiz.de/10011988707
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Forecasting volatility: Evidence from the Saudi stock market
Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-18
autoregressive conditional heteroskedasticity (GARCH)-class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …
Persistent link: https://www.econbiz.de/10012611046
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Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011482587
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Capital Markets Union and Monetary Policy Performance: Comes Financial Market Variety at a Cost?
Kotz, Hans-Helmut; Semmler, Willi; Tahri, Ibrahim - In: Vierteljahrshefte zur Wirtschaftsforschung 86 (2017) 2, pp. 41-59
Europe's financial landscape has substantial institutional variety. This reflects different societal responses to (or preferences with regard to) trade-offs. For monetary policy, it implies a challenging environment, particularly in times of financial crises. Using anon-linear VAR-model we...
Persistent link: https://www.econbiz.de/10012054626
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The integration of international financial markets: an attempt to quantify contagion in an input–output-type analysis
Schumacher, Dieter - In: Economic Systems Research 31 (2019) 3, pp. 345-360
. In this paper, this contagion effect will be estimated by taking international capital linkages into account. Analogously …
Persistent link: https://www.econbiz.de/10012102480
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Better The Devil You Know Than The Devil You Don't − Financial Crises Between Ambiguity Aversion And Selective Perception
Scholz, Peter; Grossmann, David; Krueckeberg, Sinan - In: The Central European Review of Economics and Management … 2 (2018) 1, pp. 155-174
enable effective dealing with the paper's aim.First, we use GARCH volatilities of major stock indices as a measure of market … regulation, monetary policy, and economic policy as a proxy for market awareness of these topics. By regressing on GARCH …
Persistent link: https://www.econbiz.de/10012427232
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The changing role of emerging and frontier markets in global portfolio diversification
Pätäri, Eero; Ahmed, Sheraz; John, Elena; Karell, Ville - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-23
correlation analysis and the VAR(1)-BEKK-GARCH(1,1) model, the global financial crisis and the Euro-zone crisis 2009-2012 have …
Persistent link: https://www.econbiz.de/10014001610