Shift contagion with endogenously detected volatility breaks: the case of CEE stock markets
AbstractUsing data from three Central and Eastern European (CEE-3) and two developed stock markets, we present a methodology for validating the existence of shift contagion between these markets. The use of endogenously detected changes in the volatility of stock market returns allows us to define relatively high- and low-volatility regimes for particular stock markets. We verify whether volatility regimes are significantly associated with dynamic conditional correlations (DCCs), thus providing evidence for contagion between stock markets.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 18 (2011)
Issue (Month): 12 ()
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- Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, vol. 38(C), pages 175-183.
- Baumöhl, Eduard, 2013. "Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach," MPRA Paper 43834, University Library of Munich, Germany.
- Eduard Baumöhl & Štefan Lyócsa & Tomáš Výrost, 2011. "Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 530-544, December.
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