1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/2108
DC FieldValueLanguage
dc.contributor.authorSavva, Christos S.-
dc.date.accessioned2012-04-09T05:53:07Zen
dc.date.accessioned2013-05-16T08:22:14Z-
dc.date.accessioned2015-12-02T09:29:36Z-
dc.date.available2012-04-09T05:53:07Zen
dc.date.available2013-05-16T08:22:14Z-
dc.date.available2015-12-02T09:29:36Z-
dc.date.issued2009-10-
dc.identifier.citationJournal of International Financial Markets, Institutions and Money, 2009, vol. 19, no. 4, pp. 645-661en_US
dc.identifier.issn10424431-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/2108-
dc.description.abstractThis paper investigates the transmission of price and volatility spillovers across the US and European stock markets in bivariate combinations. The framework used encompasses the most popular multivariate GARCH models, with News Impact Surfaces employed for interpretation. By using synchronous data the dynamic conditional correlation model (Engle, R., 2002. Dynamic conditional correlation: a simple class of multivariate GARCH models. Journal of Business and Economic Statistics 20, 339-350) is found to best capture the relationships for over half of the bivariate combinations of markets. Other findings include volatility spillovers from the US to European markets, and a reverse spillover. In addition, the magnitude of the correlation between markets is higher not only for negative shocks in both markets, but also when a combination of shocks of opposite signs occurs.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofJournal of International Financial Markets, Institutions and Moneyen_US
dc.rights© Elsevieren_US
dc.subjectAsymmetric volatilityen_US
dc.subjectMultivariate GARCH modelsen_US
dc.subjectNews impact surfacesen_US
dc.subjectAsymmetric volatilityen_US
dc.subjectMultivariate GARCH modelsen_US
dc.subjectNews impact surfacesen_US
dc.titleInternational stock markets interactions and conditional correlationsen_US
dc.typeArticleen_US
dc.affiliationUniversity of Cyprusen
dc.collaborationUniversity of Cyprusen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1016/j.intfin.2008.11.001en_US
dc.dept.handle123456789/54en
dc.relation.issue4en_US
dc.relation.volume19en_US
cut.common.academicyear2009-2010en_US
dc.identifier.spage645en_US
dc.identifier.epage661en_US
item.fulltextNo Fulltext-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.openairetypearticle-
item.languageiso639-1en-
crisitem.journal.journalissn1042-4431-
crisitem.journal.publisherElsevier-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.parentorgFaculty of Management and Economics-
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