Guidi, Francesco and Gupta, Rakesh (2010): Cointegration and conditional correlations among German and Eastern Europe equity markets.
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This 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.
|Item Type:||MPRA Paper|
|Original Title:||Cointegration and conditional correlations among German and Eastern Europe equity markets|
|Keywords:||Equity markets; Cointegration; Dynamic conditional correlation models.|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Francesco Guidi|
|Date Deposited:||29. Mar 2010 10:12|
|Last Modified:||19. Feb 2013 19:00|
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