Financial crises and dynamic linkages among international currencies

Journal of International Financial Markets, Institutions and Money

Volumn 26, Issue 1, 2013, Pages 319-332

  Dimitriou, Dimitrios ^a   Kenourgios, Dimitris ^a  

^a UNIVERSITY OF ATHENS   (Greece)

Author keywords

Euro crisis; FIAPARCH DCC model; Foreign exchange markets; Global financial crisis; Volatility linkages

Indexed keywords

EID: 84882941634     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2013.07.008     Document Type: Article

References (38)

1. Antonakakis N. Exchange return co-movements and volatility spillovers before and after the introduction of euro. Journal of International Financial Markets, Institutions and Money 2012, 22:1091-1109.
2. Arghyrou M.G., Kontonikas A. The EMU sovereign-debt crisis: fundamentals, expectations and contagion. Journal of International Financial Markets, Institutions and Money 2012, 22:658-677.
3. Baele L. Volatility spillover effects in European equity markets. Journal of Financial and Quantitative Analysis 2005, 40:371-401.
4. Bank for International Settlements The international financial crisis: timeline, impact and policy responses in Asia and the Pacific. Bank for International Settlements (August) 2009.
5. Baur D.G. Financial contagion and the real economy. Journal of Banking and Finance 2012, 36(10):2680-2698.
6. Boero G., Silvapulle P., Tursunalieva A. Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: a semi-parametric approach. International Journal of Finance and Economics 2011, 16:357-374.
7. Boyer B.H., Kumagai T., Yuan K. How do crises spread? Evidence from accessible and inaccessible stock indices. Journal of Finance 2006, 61(2):957-1003.
8. Celic S. The more contagion effect on emerging markets: the evidence of DCC-GARCH model. Economic Modelling 2012, 29:1946-1959.
9. Chan K.F., Treepongkaruna S., Brooks R., Gray S. Asset market linkages: evidence from financial, commodity and real estate assets. Journal of Banking and Finance 2011, 35:1415-1426.
10. Chiang T.C., Jeon B.N., Li H. Dynamic correlation analysis of financial contagion: evidence from Asian markets. Journal of International Money and Finance 2007, 26:1206-1228.
11. Chkili W., Aloui C., Ngugen D.K. Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. Journal of International Markets, Institutions and Money 2012, 22:738-757.
12. Conrad C., Karanasos M., Zeng N. Multivariate fractionally integrated APARCH modeling of stock market volatility: a multi-country study. Journal of Empirical Finance 2011, 18:147-159.
13. Constancio V. Contagion and the European debt crisis. Financial Stability Review 2012, 16:109-121.
14. Dimitriou D., Kenourgios D., Simos T. Global financial crisis and emerging stock market contagion: a multivariate FIAPARCH-DCC approach. International Review of Financial Analysis 2013, 30:46-56.
15. Engle R.F. Dynamic conditional correlation-a simple class of multivariate GARCH models. Journal of Business and Economic Statistics 2002, 20:339-350.
16. Engle R., Ito T., Lin W.L. Meteor showers or heat waves? Heteroskedastic intraday volatility in the foreign exchange market. Econometrica 1990, 58:525-542.
17. European Central Bank (ECB) Key dates of the financial crisis 2005, (since December). http://www.ecb.int/ecb/html/crisis.en.html.
18. Federal Reserve Board of St.Louis The Financial Crisis: A Timeline of Events and Policy Actions 2009.
19. Forbes K., Rigobon R. No contagion, only interdependence: measuring stock market co-movements. Journal of Finance 2002, 57:2223-2261.
20. Geweke J., Porter-Hudak S. The estimation and application of long memory time series models. Journal of Time Series Analysis 1983, 4:221-238.
21. Glosten R.T., Jagannathan R., Runkle D. On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 1993, 48:1779-1801.
22. Guo F., Chen C.R., Huang Y.S. Markets contagion during financial crisis: a regime-switching approach. International Review of Economics and Finance 2011, 20:95-109.
23. Hosking J.R.M. The multivariate portmanteau statistic. Journal of American Statistical Association 1980, 75:602-608.
24. Inagaki K. Testing for volatility spillover between the British pound and the euro. Research in International Business and Finance 2007, 21:161-174.
25. Kalbaska A., Gatkowski M. Eurozone sovereign contagion: evidence from the CDS market (2005-2010). Journal of Economic Behavior and Organization 2012, 83:657-673.
26. Kenourgios D., Samitas A., Paltalidis N. Financial crises and stock market contagion in a multivariate time-varying asymmetric framework. Journal of International Financial Markets, Institutions and Money 2011, 21:92-106.
27. Kenourgios D., Padhi P. Emerging markets and financial crises: regional, global or isolated shocks?. Journal of Multinational Financial Management 2012, 22:24-38.
28. Kitamura Y. Testing for intraday interdependence and volatility spillover among the euro, the pound and Swiss franc markets. Research in International Business and Finance 2010, 24:158-270.
29. McLeod A.I., Li W.K. Diagnostic checking ARMA time series models using squared residual autocorrelations. Journal of Time Series Analysis 1983, 4:269-273.
30. Nikkinen J., Sahlstrom P., Vahamaa S. Implied volatility linkages among major European currencies. Journal of International Financial Markets, Institutions and Money 2006, 16:87-103.
31. Patton A.J. Modelling asymmetric exchange rate dependence. International Economic Review 2006, 47:527-556.
32. Perez-Rodriguez J.V. The euro and other major currencies floating against the US dollar. Atlantic Economic Journal 2006, 34:367-384.
33. Pesaran M.H., Pick A. Econometric issues in the analysis of contagion. Journal of Economic Dynamics & Control 2007, 31:1245-1277.
34. Renaldo A., Soderlind P. Safe haven currencies. Review of Finance 2010, 14:385-407.
35. Reuters Timeline-Eurozone debt crisis 2010, (in press). http://www.reuters.com/article/2010/08/25/eurozone-crisis-events-idUSLDE67O0YD20100825.
36. Robinson P.M. Log-periodogram regression of time series with long range dependence. Annals of Statistics 1995, 23:1048-1072.
37. Rodriquez J.C. Measuring financial contagion: a copula approach. Journal of Empirical Finance 2007, 14:401-423.
38. Tse Y.K. The conditional heteroscedasticity of the yen-dollar exchange rate. Journal of Applied Econometrics 1998, 13:49-55.