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Stock market comovements in Central Europe: Evidence from the asymmetric DCC model

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10159130" target="_blank" >RIV/00216208:11230/13:10159130 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.1016/j.econmod.2013.03.015" target="_blank" >http://dx.doi.org/10.1016/j.econmod.2013.03.015</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.econmod.2013.03.015" target="_blank" >10.1016/j.econmod.2013.03.015</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Stock market comovements in Central Europe: Evidence from the asymmetric DCC model

  • Original language description

    We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europeand between Central Europe vis-A-vis the euro area are strong. The correlations increased over time, particularly after their EU entry and largely remained at these levels during the financial crisis. The stock markets exhibit asymmetry in the conditional variances and to a certain extent in the conditional correlations as well, pointing to the importance of applying a sufficiently flexible econometric framework. The conditional variances and correlations are positively related, suggesting that the diversification benefits decrease disproportionally during volatile periods.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2013

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Economic Modelling

  • ISSN

    0264-9993

  • e-ISSN

  • Volume of the periodical

    33

  • Issue of the periodical within the volume

    1

  • Country of publishing house

    NL - THE KINGDOM OF THE NETHERLANDS

  • Number of pages

    9

  • Pages from-to

    55-64

  • UT code for WoS article

    000323798100006

  • EID of the result in the Scopus database