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

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 Europe and between Central Europe vis-à-vis the euro...

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Bibliographic Details
Published in:Economic modelling 2013-07, Vol.33, p.55-64
Main Authors: Gjika, Dritan, Horváth, Roman
Format: Article
Language:English
Subjects:
Asymmetry
Central Europe
Correlation
Correlation analysis
Diversification
Eastern Europe
Econometric models
Econometrics
Economic crisis
Economic theory
European Union
Eurozone
Financial crisis
Portfolio diversification
Securities markets
Stochastic models
Stock exchange
Stock exchanges
Stock market comovements
Studies
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