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Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model · Study

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PreprintStock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model

Dritan Gjika2012

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Preprintgreen2012

Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model

Dritan Gjika · Roman Horváth

23 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1993Measuring and Testing the Impact of News on Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 2011Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets 1991Measuring and Testing the Impact of News on Volatility

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2019Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk managementarticle · 18 shared references 2015An analysis of dependence between Central and Eastern European stock marketsarticle · 12 shared references 2013Stock market comovements in Central Europe: Evidence from the asymmetric DCC modelarticle · 11 shared references 2014An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefitsarticle · 10 shared references 2015Return and volatility interdependences in up and down markets across developed and emerging countriesarticle · 9 shared references 2021Nonlinearities and Chaos: A New Analysis of CEE Stock Marketsarticle · 9 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations23

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2188390

openalex_workW2111937838

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