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Contagion of the Global Financial Crisis and the real economy: A regional analysis · Study

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ArticleContagion of the Global Financial Crisis and the real economy: A regional analysis

Dimitris F. Kenourgios2014

OA

Articlegreen2014

Contagion of the Global Financial Crisis and the real economy: A regional analysis

Dimitris F. Kenourgios · Dimitrios Dimitriou

166 citations·0/0 files stored·Economic Modelling

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1995Log-Periodogram Regression of Time Series with Long Range Dependence 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models 2005Market Integration and Contagion

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2016Interdependence of foreign exchange markets: A wavelet coherence analysis 2020Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets 2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed- t density approach 2020Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? Extreme co-movements and portfolio management analysis 2017

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Year2014

Typearticle

Published2014-11-19

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations166

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econmod.2014.10.048

openalex_workW1990972182

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Risk spillovers and portfolio management between developed and BRICS stock markets

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2016Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets