ALL libraries (COBIB.SI union bibliographic/catalogue database)
-
A comparative DCC-GARCH and rolling wavelet correlation analysis of interdependence between the Slovenian and European stock marketsDajčman, Silvo ; Kavkler, AlenkaThis paper examines the comovement and spillover dynamics between returns of the Slovenian and some European (the UK, German, French, Austrian, Hungarian and the Czech) stock markets. It aims to ... answer these question: i) Is correlation (comovement) between the Slovenian and European stock markets time-varying and scale dependent; ii) What effect did financial crises in the period from April 1997 to May 2010 have on the comovement between the Slovenian and European stock markets; iii) Are there return and volatility spillovers between European and Slovenian stock markets; iv) Do DCC-GARCH and wavelet correlation correlation estimates differ and which one should international investor resort to when making international stock market investments? A DCC-GARCH and maximal overlap discrete wavelet transform analysis is applied to returns series of representative national stock indicesfor the period April 1997- May 2010. The main findings of the paper are: i) Comovement between Slovenian and European stock markets is time-varying; ii) There are significant return spillovers between the Slovenian and European stock markets; iii) Return spillovers are not just time-varying, but also scale dependent; iv) The global financial crisis of 2007-2008 has increased comovement between the Slovenian and European stock markets; v) As the scale (frequency) increases, we can observe larger discrepancies between DCC-GARCH and wavelet correlation estimates suggesting one should resort to rolling wavelet correlation estimates when making longer horizon international portfolio decisions.Source: Economic Computation and Economic Cybernetics Studies and Research. - ISSN 0424-267X (Vol. 45, no. 4, 2011, str. 99-118)Type of material - article, component partPublish date - 2011Language - englishCOBISS.SI-ID - 10958876
Author
Dajčman, Silvo |
Kavkler, Alenka
Topics
kapital |
trg kapitala |
borze |
borzništvo |
analiza |
matematična ekonomija |
Slovenija |
Evropska unija
source: Economic Computation and Economic Cybernetics Studies and Research. - ISSN 0424-267X (Vol. 45, no. 4, 2011, str. 99-118)
Shelf entry
Permalink
- URL:
Impact factor
Access to the JCR database is permitted only to users from Slovenia. Your current IP address is not on the list of IP addresses with access permission, and authentication with the relevant AAI accout is required.
Year | Impact factor | Edition | Category | Classification | ||||
---|---|---|---|---|---|---|---|---|
JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
Select the library membership card:
If the library membership card is not in the list,
add a new one.
DRS, in which the journal is indexed
Database name | Field | Year |
---|
Links to authors' personal bibliographies | Links to information on researchers in the SICRIS system |
---|---|
Dajčman, Silvo | 22430 |
Kavkler, Alenka | 18866 |
Source: Personal bibliographies
and: SICRIS
Select pickup location:
Material pickup by post
Delivery address:
Address is missing from the member's data.
The address retrieval service is currently unavailable, please try again.
By clicking the "OK" button, you will confirm the pickup location selected above and complete the reservation process.
By clicking the "OK" button, you will confirm the above pickup location and delivery address, and complete the reservation process.
By clicking the "OK" button, you will confirm the address selected above and complete the reservation process.
Notification
Automatic login and reservation service currently not available. You can reserve the material on the Biblos portal or try again here later.
Subject headings in COBISS General List of Subject Headings
Select pickup location
The material from the parent unit is free. If the material is delivered to the pickup location from another unit, the library may charge you for this service.
Pickup location | Material status | Reservation |
---|
Reservation in progress
Please wait a moment.
Reservation was successful.
Reservation failed.
Reservation...
Membership card:
Pickup location: