Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis

Blanka Łęt

Dynamic Econometric Models, 2010, vol. 10, 43-50

Abstract: 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.

Keywords: DiagBEKK model; dynamic conditional correlation. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:10:y:2010:p:43-50

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