Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises
This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and emerging stock markets during the 2007-2010 ma...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2013-09-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31958/351943?publisher=http-www-cag-edu-tr-ilhan-ozturk |