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A multicountry measure of comovement and contagion in international markets : definition and applications
Tessler, Nina; Venezia, Itzhak - In: Review of quantitative finance and accounting 58 (2022) 4, pp. 1307-1330
Persistent link: https://www.econbiz.de/10013191882
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Time-varying dependence in European equity markets : a contagion and investor sentiment driven analysis
Niţoi, Mihai; Pochea, Maria Miruna - In: Economic modelling 86 (2020), pp. 133-147
Persistent link: https://www.econbiz.de/10012415531
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Speculative bubbles and contagion : analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
Herwarth Kohn, Maximilian-Benedikt; Pereira, Pedro L. Valls - In: Cogent economics & finance 5 (2017) 1, pp. 1-28
Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other...
Persistent link: https://www.econbiz.de/10011887512
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Dependence between stock markets of MENA countries after sub-prime crisis using bivariate extreme value theory
Ghorbel, Ahmed; Attafi, Zayneb - In: International journal of applied management science 6 (2014) 4, pp. 343-364
Persistent link: https://www.econbiz.de/10011346405
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The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets
Neaime, Simon - In: Emerging markets review 13 (2012) 3, pp. 268-282
Persistent link: https://www.econbiz.de/10009676068
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Financial integration, inclusion and stability during crises : insights from the MENA region
Abdelmageed, Samar - 2021
Persistent link: https://www.econbiz.de/10012793451
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Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : a Markov switching EGARCH approach
Khallouli, Wajih; Sandretto, René - In: Journal of economic integration 27 (2012) 1, pp. 134-166
Persistent link: https://www.econbiz.de/10009517755
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Disentangling crashes from tail events
Aboura, Sofiane - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 206-219
Persistent link: https://www.econbiz.de/10011348417
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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …
Persistent link: https://www.econbiz.de/10013348418
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Contagion effect of natural disaster and financial crisis events on international stock markets
Lee, Kuo-Jung; Lu, Su-Lien; Shih, You - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-25
In the contemporary world bustling with global trade, a natural disaster or financial crisis in one country (or region) can cause substantial economic losses and turbulence in the local financial markets, which may then affect the economic activities and financial assets of other countries (or...
Persistent link: https://www.econbiz.de/10011855248