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Dynamic Econometric Models

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

Bauwens, L., Laurent, S., Rombouts, J. (2006), Multivariate GARCH Models: a Survey, Journal of Applied Econometrics, 21, 79–109. DOI: http://dx.doi.org/10.1002/jae.842

Doornik, J. A. (2007), Ox 5 – An Object-Oriented Matrix Programming Using Ox, Timberlake Consultants, London.

Engle, R., Kroner, K. F. (1995), Multivariate Simultaneous Generalized ARCH, Econometric Theory , 11, 122–150. DOI: http://dx.doi.org/10.1017/S0266466600009063

Laurent, S. (2007), G@RCH 5, Estimating and Forecasting ARCH Models, Timberlake Consultants Press, London.

Leonhardt, D. (2008), $73 an Hour: Adding it Up, The New York Times, www.nytimes.com//2008/12/10/business/worldbusiness/10iht-10leonhardt.18542483.html (10.12.2008).

McCullagh, D. (2008), Big Three Bailout? Not So Fast, CBS News, www.cbsnews.com/stories//2008/11/12/politics/otherpeoplesmoney/main4595068.shtml (12.11.2008).

Osińska, M. (2006), Ekonometria finansowa (Financial Econometrics), PWE, Warszawa.

Tsay, R. S. (2002), Analysis of Financial Time Series, John Wiley&Sons, New York. DOI: http://dx.doi.org/10.1002/0471746193

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 5 July 2025]. DOI 10.12775/DEM.2010.004.
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Issue

Vol. 10 (2010)

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Articles

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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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