International Stock Market Comovements: What Happened during the Financial Crisis?
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- Horvath, Roman & Poldauf, Petr, 2011. "International stock market comovements: what happened during the financial crisis?," MPRA Paper 35317, University Library of Munich, Germany.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dritan Gjika & Roman Horvath, 2012.
"Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model,"
William Davidson Institute Working Papers Series
wp1035, William Davidson Institute at the University of Michigan.
- Dritan Gjika & Roman Horváth, 2012. "Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model," Working Papers 322, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
- Nico Katzke, 2013. "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics," Working Papers 17/2013, Stellenbosch University, Department of Economics.
- Gjika, Dritan & Horváth, Roman, 2013. "Stock market comovements in Central Europe: Evidence from the asymmetric DCC model," Economic Modelling, Elsevier, vol. 33(C), pages 55-64.
- Hakim, Idwan & Masih, Mansur, 2014. "Portfolio diversification strategy for Malaysia: International and sectoral perspectives," MPRA Paper 58909, University Library of Munich, Germany.
- Luis V. Bejarano-Bejarano & Jose E. Gomez-Gonzalez & Luis F. Melo-Velandia & Jhon E. Torres-Gorron, 2015. "Financial Contagion in Latin America," BORRADORES DE ECONOMIA 012820, BANCO DE LA REPÚBLICA.
More about this item
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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