Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets☆

By Manolis N. Syllignakis, Georgios P. Kouretas. 2011

410 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1444937da9e1b4972481548338260ef04fb4202d

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Citations in the corpus

Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “Recently, Vivian and Wohar (2012) investigated the existence of structural breaks in commodity spot return volatility using an iterative cumulative sum of squares procedure and a GARCH model of a broad cross-section of 28 different commodities from January 1985 to July 2010.”
Modeling rainfall–runoff relationship using multivariate GARCH model (2013, methodology): “The multivariate GARCH (MGARCH) models have then been commonly applied to study the relations between the volatilities and co-volatilities of several markets (e.g. De Goeij and Marquering, 2004; Serban et al., 2007; Cai et al., 2009; Syllignakis and Kouretas, 2011).”
Global Financial Crisis and Emerging Stock Market Contagion: A Multivariate FIAPARCH-DCC Approach (2013, methodology): “Using a DCC–GARCH model, Syllignakis and Kouretas (2011) capture contagion effects among US and German stock markets and seven emerging Central and Eastern Europe markets.”
Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model (2013, methodology): “…Price, 2001, Scheicher, 2001, Voronkova, 2004, Patev et al., 2006, Egert and Kocenda, 2007, Syriopulos, 2007, Gilmore et al., 2008, Wang and Moore, 2008, Savva and Aslanidis, 2010, Kocenda and Egert, 2011, Hanousek and Kocenda, 2011, Syllignakis and Kouretas, 2011 or Horvath and Petrovski, 2012).”
Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence? (2013, background): “…which in general term defined as the spread of financial shocks from one country to others (see Ang and Bekaert, 1999; Chiang et al., 2007; Dooley and Hutchison, 2009; Forbes and Rigobon, 2002; Lessard, 1973; Longin and Solnik, 1995, 2001; Solnik, 1974; Syllignakis and Kouretas, 2011 etc.).”
Diversifying away the Risk of War and Cross-Border Political Crisis (2017, background): “and German stock markets and into Central and Eastern European countries (Syllignakis and Kouretas, 2011).”
Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar) (2019, background): “These considerations help better capture dynamic herding behavior in the presence of financial contagion in response to fluctuations in macroeconomic conditions (Corsetti et al., 2005; Chiang et al., 2007; Boyer et al., 2006; Celik, 2012; Syllignakis and Kouretas, 2011).”