Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

© 2014 The Authors. This paper applies the vector AR-DCC-FIAPARCH model to eight national stock market indices' daily returns from 1988 to 2010, taking into account the structural breaks of each time series linked to the Asian and the recent Global financial crisis. We find significant cross ef...

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Bibliographic Details
Main Authors: Menelaos Karanasos, Stavroula Yfanti, Michail Karoglou
Format: Default Article
Published: 2016
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Other law and legal studies not elsewhere classified
Contagion effects
Dynamic conditional correlation
Financial crisis
Long memory
Multivariate
GARCH
Structural breaks
Law
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/34025
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