Economics at your fingertips  

Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data

Mohamed Arouri (), Fredj Jawadi (), Waël Louhichi and D. K. Nguyen
Additional contact information
Waël Louhichi: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR1 - Université de Rennes 1 - UNIV-RENNES - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: This paper investigates the contagion hypothesis for the French and German stock markets using a combination of a Switching Transition Error Correction model and a Generalized Autoregressive Conditional Heteroscedasticity (STEC-GARCH) model. The main advantage of this double nonlinear error-correction modeling is to specify a time-varying process that apprehends the dynamic evolution of the contagion and reproduces its speed, its extreme regimes as well as its intermediate states, by taking into account the possible linkages between these markets. More importantly, these techniques capture two kinds of nonlinearity: nonlinearity in the mean and nonlinearity in the variance. Applying this modeling on the intraday data of the CAC40 and DAX100 indices over the pre-crisis period (2004-2006) and the post-crisis period (2007-2009), our results indicate significant shift contagion between studied markets. There is also evidence of nonlinear time-varying error correcting-mechanism toward the long-run equilibrium.

Keywords: STEC-GARCH model.; Contagion; Nonlinear Error-Correcting Mechanism; High Frequency Data; STEC-GARCH model (search for similar items in EconPapers)
Date: 2011
Note: View the original document on HAL open archive server:
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in G.N. Gregoriou and R. Pascalau (Eds.). Financial Econometrics Handbook, Palgrav Macmillan London, pp.143-160, 2011

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Chapter: Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

Page updated 2021-08-28
Handle: RePEc:hal:journl:halshs-00601428