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Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis


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  • Blanka Let

    (Poznan University of Economics)

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    This article contains an analysis of dynamic interrelations between log-returns series of three automotive companies listed on the New York Stock Exchange: GM, F and DAI. We consider two periods: before and during crisis. We apply DiagBEKK model and we calculate dynamic conditional correlations. As a result of our research we found that in conditions of crisis there were strong connections between considered stock companies.

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    Bibliographic Info

    Article provided by Uniwersytet Mikolaja Kopernika in its journal Dynamic Econometric Models.

    Volume (Year): 10 (2010)
    Issue (Month): ()
    Pages: 43-50

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    Handle: RePEc:cpn:umkdem:v:10:y:2010:p:43-50

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    Related research

    Keywords: DiagBEKK model; dynamic conditional correlation.;


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