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Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH
Sandoval Paucar, Giovanny - 2019
El artículo investiga la incertidumbre y la interdependencia entre el mercado accionario colombiano y los principales mercados internacionales. Se estima un modelo Correlación Condicional Dinámica (DCC) para estudiar la interdependencia entre los mercados accionarios seleccionados y un modelo...
Persistent link: https://www.econbiz.de/10015263293
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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Katusiime, Lorna - In: Economies 7 (2019) 1, pp. 1-17
Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC … and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis …. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to …
Persistent link: https://www.econbiz.de/10013199514
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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17
Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC … and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis …. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to …
Persistent link: https://www.econbiz.de/10012021528
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The 2011 Japanese Earthquake, Tsunami and Nuclear Crisis : Evidence of Contagion from International Financial Markets
Asongu, Simplice - 2015
Purpose – Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis....
Persistent link: https://www.econbiz.de/10013032608
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Globalization, Financial Crisis and Contagion : Time-Dynamic Evidence from Financial Markets of Developing Countries
Asongu, Simplice - 2015
Financial integration among economies has the benefit of improving allocation efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its...
Persistent link: https://www.econbiz.de/10013032610
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Political Crises and Risk of Financial Contagion in Developing Countries : Evidence from Africa
Asongu, Simplice - 2015
The recent waves of political crises in Africa and the Middle East have inspired the debate over how political instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our findings suggest stock markets in Lebanon, Mauritius were...
Persistent link: https://www.econbiz.de/10013032611
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Financial Contagion : A New Perspective (and a New Test)
Cominetta, Matteo - 2018
Contagion has mostly been interpreted and tested as a break from a stable linear correlation of financial markets caused by an extraordinary shock. This paper argues that quantile regression can provide a tool to investigate alterations in other features of financial returns' distribution caused...
Persistent link: https://www.econbiz.de/10012925155
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The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets
Asongu, Simplice A. - 2011
Purpose - Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis. Design/methodology/approach...
Persistent link: https://www.econbiz.de/10011410521
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Globalization, financial crisis and contagion : time-dynamic evidence from financial markets of developing countries
Asongu, Simplice A. - 2011
Financial integration among economies has the benefit of improving allocation efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its...
Persistent link: https://www.econbiz.de/10011410546
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Political crises and risk of financial contagion in developing countries : evidence from Africa
Asongu, Simplice A. - 2011
The recent waves of political crises in Africa and the Middle East have inspired the debate over how political instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our findings suggest stock markets in Lebanon, Mauritius were...
Persistent link: https://www.econbiz.de/10011410547