Description

• Title:
  Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis
• Creator:
  Łęt, Blanka
• Description:
  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.
• Object availability:
  free access
• Date:
  2010.07.17
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Dynamic Econometric Models; Vol. 10 (2010); 43-50;
  Dynamic Econometric Models; Tom 10 (2010); 43-50;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Publisher:
  Nicolaus Copernicus University
• Relation: https://apcz.umk.pl/DEM/article/view/DEM.2010.004/4027
• Subject:
  DiagBEKK model;
  dynamic conditional correlation
• Identifier: https://apcz.umk.pl/DEM/article/view/DEM.2010.004
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text