Search Results - subject:"DCC-MGARCH Model"

The ripple effect : analyzing the contagion of the Tunisian revolution on the Egyptian stock market

Meskini, Zahra; Chaibi, Hasna - In: Journal of financial regulation and compliance 32 (2024) 5, pp. 555-571

Persistent link: https://www.econbiz.de/10015202539

The ripple effect: analyzing the contagion of the Tunisian revolution on the Egyptian stock market

Meskini, Zahra; Chaibi, Hasna - In: Journal of Financial Regulation and Compliance 32 (2024) 5, pp. 555-571

/methodology/approach This paper examines the contagion hypothesis between Tunisia and Egypt during the Arab Spring, using a DCC-MGARCH model to …

Persistent link: https://www.econbiz.de/10015350622

Contagion or interdependence? : evidence from Asian emerging stock markets in times of COVID-19 pandemic

Bagchi, Bhaskar; Ghosh, Raktim - In: Global business & economics review 28 (2023) 2, pp. 155-174

Persistent link: https://www.econbiz.de/10014230980

Analyzing spillover effects among BRICS stock markets : application of COPULA and DCC-MGARCH model

Tripathy, Nalini Prava; Panda, Pradiptarathi - In: Review of Pacific Basin financial markets and policies … 26 (2023) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10014490381

Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management

Tsuji, Chikashi - In: International review of financial analysis 70 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012318292

Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model

Chevallier, Julien - In: Economics Bulletin 31 (2011) 1, pp. 255-272

shows that the correlations between EUAs and CERs extracted from the DCC MGARCH model appear as a useful tool to comprehend … MGARCH model by Engle and Sheppard (2001) and Engle (2002) on daily data from March 09, 2007 to January 26, 2010, we confirm … GARCH econometric framework, so as to reflect the dynamics of the correlations between the variables overtime. Using the DCC …

Persistent link: https://www.econbiz.de/10008794449

Dynamic correlation and equicorrelation analysis of global financial turmoil : evidence from emerging East Asian stock markets

Cai, Xiao Jing; Tian, Shuairu; Hamori, Shigeyuki - In: Applied economics 48 (2016) 40/42, pp. 3789-3803

Persistent link: https://www.econbiz.de/10011628092

On the study of contagion in the context of the subprime crisis : a dynamic conditional correlation-multivariate GARCH approach

Hemche, Omar; Jawadi, Fredj; Maliki, Samir B.; Cheffou, … - In: Economic modelling 52 (2016), pp. 292-299

Persistent link: https://www.econbiz.de/10011645655

Determinants of European stock market integration

Büttner, David; Hayo, Bernd - 2009

We analyse the determinants of stock market integration among EU member states for the period 19992007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk,...

Persistent link: https://www.econbiz.de/10010265893

Determinants of European Stock Market Integration

Büttner, David; Hayo, Bernd - Volkswirtschaft Abteilung, Fachbereich … - 2009

We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...

Persistent link: https://www.econbiz.de/10005011854