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...

Full description

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:	DCC-GARCH stock markets wavelet analysis European stock markets comovements Economics Business & Economics Social Sciences DCC-GARCH stock markets wavelet analysis European stock markets comovements
Online Access:	Fulltext
Database:	Social Sciences Citation Index Web of Science - Social Sciences Citation Index - 2012 Web of Knowledge Web of Science RePEc RePEc IDEAS CrossRef Database information Databases - DBIS