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The dynamics of Central European equity market comovements · Study

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ArticleThe dynamics of Central European equity market comovements

Claire G. Gilmore2006

Article2006

The dynamics of Central European equity market comovements

Claire G. Gilmore · Brian M. Lucey · Ginette M. McManus

133 citations·0/0 files stored·The Quarterly Review of Economics and Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1996Residual-based tests for cointegration in models with regime shifts 1999Numerical distribution functions of likelihood ratio tests for cointegration 1997Emerging equity market volatility 1992Recursive Estimation in Cointegrated VAR-Models 2004Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes 2001The comovements of stock markets in Hungary, Poland and the Czech Republic

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2015Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5 2010Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade 2013International stock market integration: Central and South Eastern Europe compared 2013Dynamic relationship between precious metals 2014An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits

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Year2006

Typearticle

Published2006-11-21

VenueThe Quarterly Review of Economics and Finance

ISSN-L1062-9769

Languageen

Citations133

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.qref.2006.06.005

openalex_workW2085699237

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