Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis
AbstractThis 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 InfoArticle provided by Wydawnictwo Naukowe Uniwersytetu Mikolaja Kopernika in its journal Dynamic Econometric Models.
Volume (Year): 10 (2010)
Issue (Month): ()
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Web page: http://www.wydawnictwoumk.pl
DiagBEKK model; dynamic conditional correlation.;
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