News and Correlations of CEEC-3 Financial Markets

News and Correlations of CEEC-3 Financial Markets

We investigate conditional correlations between six CEEC-3 financial markets estimated by DCC-MGARCH models. In general, the highest correlations exist between Hungary and Poland in foreign exchange and stock markets. Short-term money markets are rather isolated from each other. We find that the ass...

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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 44-2009)
Autoren: Büttner, David, Hayo, Bernd
Format: Arbeit
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2009
Schlagworte:
DCC-MGARCH.
political news, macroeconomic shocks
Wirtschaft
contagion
Hungary
Poland
Financial markets
Czech Republic
Economics
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MAGKS - Joint Discussion Paper Series in Economics

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