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
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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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
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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
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