کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084491 1477908 2016 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
چکیده انگلیسی
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 effects, as well as long range volatility dependence, asymmetric volatility response to positive and negative shocks, and the power of returns that best fits the volatility pattern. One of the main findings of the model analysis is the higher dynamic correlations of the stock markets after a crisis event, which means increased contagion effects between the markets. The fact that during the crisis the conditional correlations remain on a high level indicates a continuous herding behaviour during these periods of increased market volatility. Finally, during the recent Global financial crisis the correlations remain on a much higher level than during the Asian financial crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 45, May 2016, Pages 332-349
نویسندگان
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