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• W3012099118 abstract "Abstract We study the effects of contagion around the global financial crisis (GFC) and the Eurozone crisis periods using German and UK returns, each paired with returns from Central and East European (CEE) stock markets that recently joined the European Union (EU). Using bivariate vector error-correction models (VECMs) estimated in GARCH(1,1), we find strong support for long-run equilibrium conditions. This finding suggests that tests of tail dependence using differenced VARs may be mis-specified when long-run equilibrium conditions apply. Past news has more persistence on current volatility in CEE markets than in the developed markets. Past volatility has more persistence in the developed markets compared to the CEE markets. The T-V symmetrized Joe–Clayton (T-V SJC) copula outperforms all other copulas in goodness-of-fit, including, the T-V Gaussian and Student t copulas. This result is supported by a differenced VAR-GARCH (1,1). For CEE and developed market returns, no more than half of our market pairs exhibit significant increases in lower tail dependence, under the T-V SJC copula. Given the number of paired comparisons, the evidence on joint extreme dependence is weak. As such, CEE stock markets experienced little contagion effects during the GFC and Eurozone crisis periods, contrary to prior results. We find that the legal environment negatively impacts financial development, perhaps causing CEE and the EU markets to be isolated." @default.
• W3012099118 created "2020-03-23" @default.
• W3012099118 creator A5050198273 @default.
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• W3012099118 date "2020-03-18" @default.
• W3012099118 modified "2023-10-15" @default.
• W3012099118 title "Volatility and asymmetric dependence in Central and East European stock markets" @default.
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• W3012099118 doi "https://doi.org/10.1007/s11156-020-00874-0" @default.
• W3012099118 hasPublicationYear "2020" @default.
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