TY - JOUR
T1 - FINANCIAL MARKET INTERCONNECTIONS ANALYZED USING GARCH UNIVARIATE AND MULTIVARIATE MODELS
AU - Anghel, Lucian Claudiu
AU - Zwak-Cantoriu, Maria Cristina
AU - Mendon, Suhan
AU - Gyorgy, Attila
AU - Ermiș, Simona
AU - Trivedi, Jatin
N1 - Publisher Copyright:
© 2022, Bucharest University of Economic Studies. All rights reserved.
PY - 2022
Y1 - 2022
N2 - Given that the financial markets are facing the effects of the coronavirus pandemic, we chose to perform an analysis on them, in order to see the transmission of volatility, the effects of the contagion and the interconnection between the financial markets. Using stock indices from different countries and applying theoretical and empirical methods such as univariate and multivariate models (ARCH–GARCH, BEKK), we aim to capture volatility and bidirectional contagion, as well as testing and occurring the phenomenon of clustering volatility and its transmission effect.
AB - Given that the financial markets are facing the effects of the coronavirus pandemic, we chose to perform an analysis on them, in order to see the transmission of volatility, the effects of the contagion and the interconnection between the financial markets. Using stock indices from different countries and applying theoretical and empirical methods such as univariate and multivariate models (ARCH–GARCH, BEKK), we aim to capture volatility and bidirectional contagion, as well as testing and occurring the phenomenon of clustering volatility and its transmission effect.
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U2 - 10.24818/18423264/56.3.22.07
DO - 10.24818/18423264/56.3.22.07
M3 - Article
AN - SCOPUS:85138550117
SN - 0424-267X
VL - 56
SP - 101
EP - 118
JO - Economic Computation and Economic Cybernetics Studies and Research
JF - Economic Computation and Economic Cybernetics Studies and Research
IS - 3
ER -