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Integrácia akciových trhov: DCC MV-GARCH model
[Stock Market Integration: DCC MV-GARCH Model]

Author

Listed:
  • Eduard Baumöhl
  • Mária Farkašovská
  • Tomáš Výrost

Abstract

In this paper we analyze the dynamic conditional correlations between CEE stock markets (also known as countries from Vysehrad Group - V4) and developed European stock markets, with German DAX utilized as a benchmark. Our methodology is based on the DCC MV-GARCH approach. It is shown that the dynamic conditional correlations exhibit statistically significant growth after the integration of CEE countries to European Union, i.e. after the May 2004. The only index not exhibiting this trend is the Slovak SAX index.

Suggested Citation

  • Eduard Baumöhl & Mária Farkašovská & Tomáš Výrost, 2010. "Integrácia akciových trhov: DCC MV-GARCH model
    [Stock Market Integration: DCC MV-GARCH Model]
    ," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 488-503.
  • Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:743:p:488-503
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    stock market integration; dynamic conditional correlations; CEE markets; DCC MV-GARCH model;

    JEL classification:

    • 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
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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