Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis

Authors

  • Blanka Łęt Poznań University of Economics

DOI:

https://doi.org/10.12775/DEM.2010.004

Keywords

DiagBEKK model, dynamic conditional correlation

Abstract

This article contains an analysis of dynamic interrelations between log-returns series of three automotive companies listed on the New York Stock Exchange: GM, F and DAI. We consider two periods: before and during crisis. We apply DiagBEKK model and we calculate dynamic conditional correlations. As a result of our research we found that in conditions of crisis there were strong connections between considered stock companies.

References

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Dynamic Econometric Models

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Published

2010-07-17

How to Cite

1.
ŁĘT, Blanka. Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis. Dynamic Econometric Models. Online. 17 July 2010. Vol. 10, pp. 43-50. [Accessed 14 December 2024]. DOI 10.12775/DEM.2010.004.

Issue

Vol. 10 (2010)

Section

Articles

License

The journal provides an Open Access to its content based on the non-exclusive licence Creative Commons (CC BY-ND 4.0).

To enable the publisher to disseminate the author's work to the fullest extent, the author must agrees to the terms and conditions of the License Agreement with Nicolaus Copernicus University.

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