Show simple item record

dc.contributor.convenorHeather Anderson and Maria Racionero
dc.contributor.authorGuidi, Francesco
dc.contributor.authorGupta, Rakesh
dc.contributor.editorHeather Anderson and Maria Racionero
dc.date.accessioned2017-05-03T15:59:35Z
dc.date.available2017-05-03T15:59:35Z
dc.date.issued2009
dc.date.modified2011-09-12T06:50:12Z
dc.identifier.urihttp://hdl.handle.net/10072/40789
dc.description.abstractThis paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries into the European Union.
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherThe Econometric Society
dc.publisher.placeAustralia
dc.publisher.urihttps://www.econometricsociety.org/meetings/schedule/2009/07/07/australasian-meeting
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofconferencename2009 Australasian Meeting of the Econometric Society
dc.relation.ispartofconferencetitle2009 Australasian Meeting of the Econometric Society
dc.relation.ispartofdatefrom2009-07-07
dc.relation.ispartofdateto2009-07-09
dc.relation.ispartoflocationCanberra, Australia
dc.rights.retentionY
dc.subject.fieldofresearchFinancial Economics
dc.subject.fieldofresearchcode140207
dc.titleCointegration and conditional correlations among German and Eastern Europe equity markets
dc.typeConference output
dc.type.descriptionE2 - Conferences (Non Refereed)
dc.type.codeE - Conference Publications
gro.date.issued2009
gro.hasfulltextNo Full Text
gro.griffith.authorGupta, Rakesh


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

  • Conference outputs
    Contains papers delivered by Griffith authors at national and international conferences.

Show simple item record