European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 - a comparative DCC-GARCH and wavelet correlation analysis

This article examines the comovement dynamics between the developed European stock markets of the United Kingdom, Germany, France and Austria. After applying a Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedastic (DCC-GARCH) and wavelet multiscale analysis on a dail...

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Bibliographic details
Volume: 19
Main Author: Dajcman, Silvo
Festic, Mejra
Kavkler, Alenka
Format: Journal Article
Language: English
Place of publication: ABINGDON Taylor & Francis 01.09.2012
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Taylor and Francis Journals
published in: Applied economics letters Vol. 19; no. 13; pp. 1249 - 1256
Data of publication: 9/1/2012
ISSN: 1350-4851
1466-4291
EISSN: 1466-4291
Discipline: Economics
Series: Applied Economics Letters
Subjects:
Online Access: Fulltext
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2012
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