DYNAMICS OF MULTIVARIATE RETURN SERIES OF U.S. AUTOMOTIVE STOCK COMPANIES IN CONDITIONS OF CRISIS
DOI:
https://doi.org/10.12775/AUNC_ECON.2009.046Keywords
DiagBEKK model, dynamic conditional correlationAbstract
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.
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