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A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis
4 references·1 citing·20 second hop
A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis (2012)A dynamic conditional correlation analysi…Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil (2010)Dynamic correlation analysis …Spillovers and correlations between US and major European stock markets: the role of the euro (2009)Spillovers and correlations b…Financial Market Dynamics in an Enlarged European Union (2009)Financial Market Dynamics in …A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers (2005)A DCC analysis of internation…The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets (2015)The effects of global monetar…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Benefits of diversifying investments into emerging markets with time-varying correlations: An Australian perspective (2008)Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework (2020)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Dynamic correlations and volatility effects in the Balkan equity markets (2008)Determinants of European stock market integration (2011)Global equity market volatility spillovers: A broader role for the United States (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)In search of the determinants of European asset market comovements (2016)Business and Financial Cycles in the Eurozone: Synchronization or Decoupling (2017)Is the correlation in international equity returns constant: 1960–1990? (1995)Continuous wavelet transform and rolling correlation of European stock markets (2015)Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index (2017)Two decades of contagion effect on stock markets: Which events are more contagious? (2021)
this work references cited by second hop

References

  • 2010Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil109 cited
  • 2005A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers101 cited
  • 2009Spillovers and correlations between US and major European stock markets: the role of the euro96 cited
  • 2009Financial Market Dynamics in an Enlarged European Union19 cited

Cited by

  • 2015The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets16 cited

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