On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets

In this paper, we attempt to evaluate the time-varying and asymmetric co-movement of CEE equity markets with the US stock markets around the subprime crisis and the resulting global financial crisis. The econometric approach adopted is based on recent development of time-varying copulas. For that, w...

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Veröffentlicht in:	Physica A 2016-10, Vol.459, p.9-23
Hauptverfasser:	Boubaker, Heni, Raza, Syed Ali
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymmetry CEE stock markets Crisis periods Econometrics Economic models Economics Flexibility Long memory dependence Markets Raw materials Sciences of the Universe Statistical mechanics Time-varying co-movement
Online-Zugang:	Volltext
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