Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis
Dynamic Econometric Models
View Archive InfoField | Value | |
Title |
Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis
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Creator |
Łęt, Blanka; Poznań University of Economics
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Subject |
DiagBEKK model, dynamic conditional correlation
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Description |
This article contains an analysis of dynamic interrelations between log-returns series of three automotive companies listed on the New York Stock Exchange: GM, F and DAI. We consider two periods: before and during crisis. We apply DiagBEKK model and we calculate dynamic conditional correlations. As a result of our research we found that in conditions of crisis there were strong connections between considered stock companies.
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Publisher |
Nicolaus Copernicus University
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Contributor |
—
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Date |
2010-07-17
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Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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Format |
application/pdf
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Identifier |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.004
10.12775/DEM.2010.004 |
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Source |
Dynamic Econometric Models; Vol 10 (2010); 43-50
Dynamic Econometric Models; Vol 10 (2010); 43-50 2450-7067 1234-3862 |
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Language |
eng
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Relation |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.004/4027
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