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Africa stock markets cross-market linkages : a time-varying Dynamic Conditional Correlations (DCC-GARCH) approach
Marozva, Godfrey - In: The journal of applied business research 33 (2017) 2, pp. 321-328
Persistent link: https://www.econbiz.de/10011673887
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Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK
Tamakoshi, Go; Hamori, Shigeyuki - In: Research in international business and finance 36 (2016), pp. 288-296
Persistent link: https://www.econbiz.de/10011594438
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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020
time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …
Persistent link: https://www.econbiz.de/10012226706
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Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020
Persistent link: https://www.econbiz.de/10012317566
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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 : 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 … 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/10011471074
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Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
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Analysis of financial contagion in influential African stock markets
Aderajo, Oluwatosin Mary; Olaniran, Oladotun Daniel - In: Future Business Journal 7 (2021), pp. 1-9
crisis period, an increase in correlation (contagion) existed, while a continued correlation (herding) existed in the post … assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African … conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By …
Persistent link: https://www.econbiz.de/10012493750
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Dynamic correlation analysis of financial contagion : evidence from the Central and Eastern European markets
Syllignakis, Manolis N.; Kouretas, Georgios P. - In: International review of economics & finance : IREF 20 (2011) 4, pp. 717-732
Persistent link: https://www.econbiz.de/10009303872