Shock and Volatility Transmissions between Bank Stock Returns in Romania: Evidence from a VARGARCH Approach
作者： Anissa Chaibi , Maria Ciupac-Ulici
DOI:
关键词: Shock (economics) 、 Volatility (finance) 、 Monetary economics 、 Diversification (finance) 、 Stock (geology) 、 Financial crisis 、 Economics
摘要: We develop a VAR-GRACH approach to invesigate shock and volatility transmissions between bank stock returns in Romania during the 2007-2009 international financial crisis.Our findings provide eveidence of significant Romanian returns.We also show how our empirical results can be used build effective diversification hedging strategies.
参考文章(15)
Frederic Teulon, Milton Friedman (1912-2006): une synthèse biographique et bibliographique Research Papers in Economics. ,(2014)
Frederic Teulon, Robert Mundell et les relations monétaires internationales Research Papers in Economics. ,(2014)
Frederic Teulon, James Tobin, père fondateur de la finance moderne Research Papers in Economics. ,(2014)
Naceur Naguez, Jean-Luc Prigent, Kappa Performance Measures with Johnson Distributions International journal of business. ,vol. 16, pp. 207- ,(2011)
Frederic Teulon, Charles Kindleberger (1910-2003) et les dysfonctionnements de l’économie mondiale Research Papers in Economics. ,(2014)
Frederic Teulon, Gary Becker et l’approche économique du comportement humain Research Papers in Economics. ,(2014)
Frederic Teulon, John Kenneth Galbraith, un économiste hétérodoxe dans le siècle Research Papers in Economics. ,(2014)
Frederic Teulon, Joseph Stiglitz: une vision désenchantée de la mondialisation Research Papers in Economics. ,(2014)
Frederic Teulon, Le capitalisme liberal vu par Friedrich von Hayek Research Papers in Economics. ,(2014)
Mehmet Balcilar, Kirsten Thompson, Rangan Gupta, Reneé van Eyden, Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach Journal of International Financial Markets, Institutions and Money. ,vol. 43, pp. 30- 43 ,(2016) , 10.1016/J.INTFIN.2016.03.005