Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model

By Dritan Gjika, R. Horvath. 2013

167 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7f6d4fcb1943277fd06ab270e8f2c7e9b363779f

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. Sang Hoon Kang
2. Walid Mensi
3. Duc Khuong Nguyen
4. Shawkat Hammoudeh
5. George Filis
6. Mohamed Arouri
7. Stavros Degiannakis *
8. Perry Sadorsky

In Finance

1. Duc Khuong Nguyen
2. Walid Mensi
3. Sang Hoon Kang
4. Shawkat Hammoudeh
5. George Filis
6. Mohamed Arouri
7. Stavros Degiannakis *
8. Perry Sadorsky

Citations in the corpus

• Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, methodology): “Taking in consideration the asymmetric effects, the study of Gjika and Horváth (2013) adopts the Asymmetric DCC (ADCC)-GARCH model to examine the time-varying comovements of the stock markets in the Central Europe, and finds evidence of strong correlations among those markets and between them and…”