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 …

research not only analyzes the contagion efects of COVID-19 but also considers aftermath events beyond the frst pandemic wave … a few high-contagion periods related to Bitcoin. The paper also found that Bitcoin is more likely to produce extreme … returns and is more connected to other markets. Contagion efects "from" and"to" other markets are asymmetrical in terms of …

: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …

positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …

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 …

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 …

The purpose of this paper is to examine the equity market crisis contagion in major Asian economic markets. A … peripheries depend particularly on the roles and structure of these markets. The impact of the global financial contagion and the … global financial crisis period; after the global financial crisis, attention paid to long term Asian contagion adds new …