The more contagion effect on emerging markets: The evidence of DCC-GARCH model

By S. Celik. 2012

277 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3aab8cdee8c2a4c27dfe330a5653886e1d7911fc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Beljid Makram
2. Adel Boubaker
3. Theodore Syriopoulos
4. Tony Klein

In Finance

1. Beljid Makram
2. Adel Boubaker
3. Theodore Syriopoulos
4. Tony Klein

Citations in the corpus

• Dynamic correlation of precious metals and flight-to-quality in developed markets (2017, background): “(3) in matrix notation yields Q t = S (1 − α − β) + αξt−1 ξ ′ t−1 + βQ t−1 , (4) 1 Note that Celik (2012) uses ψ and ζ while Mensi et al. (2017) denote the DCC parameters by κ1 and κ2 .”
• Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis (2015, background): “In this case, global investorswouldhave to adjust their asset allocationdecisions in order to mitigate contagion risks (Aloui, Aissa, & Nguyen, 2011; Celik, 2012; Kenourgios, Samitas, & Paltalidis, 2011; Syriopoulos, 2006, 2007, 2011, 2013; Syriopoulos & Roumpis, 2009).”