Hellenic Open University Conferences, International Conference on Business & Economics of the Hellenic Open University 2016

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The European Crisis Under Multivariate GARCH Models
Vasiliki Tsichli, Maria Chrysoula Petala

##manager.scheduler.building##: Titania
##manager.scheduler.room##: Solon
Date: 2016-04-23 09:00 AM – 10:45 AM
Last modified: 2016-05-25

Abstract


This paper applies the BEKK (Baba, Engle, Kraft and Kroner, 1990) and the DCC (Dynamic Conditional Correlation, 2002) multivariate GARCH models, in order to examine the possible contagion of Greek economic crisis to other European countries. For this reason, our sample consists of seven European countries stock market returns, such as: United Kingdom, Italy, France, Germany, Portugal, Spain and Greece from 2004 to 2015. The main finding of the present analysis is that the contagion of the Greek economic crisis is not verified with either the BEKK or the DCC model.

 


Keywords


European Crisis; Financial Contagion; GARCH-BEKK; GARCH-DCC

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