Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis

This article contains an analysis of dynamic interrelations between log-returns series of three automotive companies listed on the New York Stock Exchange: GM, F and DAI. We consider two periods: before and during crisis. We apply DiagBEKK model and we calculate dynamic conditional correlations. As a result of our research we found that in conditions of crisis there were strong connections between considered stock companies.

MoreLess

Year of publication:	2010
Authors:	Let, Blanka
Published in:	Dynamic Econometric Models. - Uniwersytet Mikolaja Kopernika. - Vol. 10.2010, p. 43-50
Publisher:	Uniwersytet Mikolaja Kopernika
Subject:	DiagBEKK model \| dynamic conditional correlation

More details

Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009001656