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http://librepo1.snspa.ro:8080/jspui/handle/123456789/105| Title: | Financial Market Interconnections Analyzed Using GARCH Univariate and Multivariate Models |
| Authors: | Anghel, Lucian Claudiu Zwak-Cantoriu, Maria-Cristina Mendon, Suhan Attila, Gyorgy Ermis, Simona Trivedi, Jatin |
| Keywords: | volatility contagion clustering ARCH–GARCH models GARCH–BEKK models |
| Issue Date: | 2022 |
| Publisher: | Economic Computation and Economic Cybernetics Studies and Research |
| Citation: | Anghel, L.C., Zwak-Cantoriu, M.C., Mendon, S., Gyorgy, A., Ermiș, S., & Trivedi, J., (2022), Financial Market Interconnections Analyzed Using GARCH Univariate and Multivariate Models. Economic Computation and Economic Cybernetics Studies and Research, 56(3)/2022; 101-118. |
| Abstract: | Given that the financial markets are facing the effects of the coronavirus pandemic, we chose to perform an analysis on them, in order to see the transmission of volatility, the effects of the contagion and the interconnection between the financial markets. Using stock indices from different countries and applying theoretical and empirical methods such as univariate and multivariate models (ARCH–GARCH, BEKK), we aim to capture volatility and bidirectional contagion, as well as testing and occurring the phenomenon of clustering volatility and its transmission effect. |
| URI: | 10.24818/18423264/56.3.22.07 http://librepo1.snspa.ro:8080/jspui/handle/123456789/105 |
| Appears in Collections: | FM - Economics & Finance |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Anghel et al 2022.pdf | 1.14 MB | Adobe PDF | View/Open |
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