Record Details

Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis

Dynamic Econometric Models

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Field Value
 
Title Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis
 
Creator Łęt, Blanka; Poznań University of Economics
 
Subject DiagBEKK model, dynamic conditional correlation
 
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.
 
Publisher Nicolaus Copernicus University
 
Contributor
 
Date 2010-07-17
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion


 
Format application/pdf
 
Identifier http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.004
10.12775/DEM.2010.004
 
Source Dynamic Econometric Models; Vol 10 (2010); 43-50
Dynamic Econometric Models; Vol 10 (2010); 43-50
2450-7067
1234-3862
 
Language eng
 
Relation http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.004/4027