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- W3125804926 abstract "In this paper we study the impact of market jumps on the time varying return correlations between stock market indices in the Baltic countries. An EARJI-EGARCH model facilitating direct modelling of the time varying return correlations is introduced. The empirical results indicate that there is a quite large number of identi…ed jumps in the emerging Baltic stock markets. The main …nding is that isolated market jumps in one of the markets generally have no or small e¤ects on the time-varying correlations. In contrast, simultaneous jumps of equal sign increase the average correlation, in some cases with as much as 100 percent." @default.
- W3125804926 created "2021-02-01" @default.
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- W3125804926 date "2010-12-21" @default.
- W3125804926 modified "2023-09-27" @default.
- W3125804926 title "The Impact of Stock Market Jumps on Time-Varying Return Correlations: Empirical Evidence from the Baltic Countries" @default.
- W3125804926 hasPublicationYear "2010" @default.
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