Co-movements between Germany and International Stock Markets: Some New Evidence from DCC-GARCH and Wavelet Approaches

Gazi Salah Uddin, Mohamed Arouri and Aviral Tiwari

No 2014-143, Working Papers from Department of Research, Ipag Business School

Abstract: The analysis of co-movements of stock market returns is a fundamental issue in finance. The aim of this paper is to examine the co-movement between Germany and major International Stock Markets in the time–frequency space. Our sample period goes from 01 J

Keywords: DCC-GARCH; Co-movement; Wavelet coherence; Germany (search for similar items in EconPapers)
JEL-codes: C40 F30 G15 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Citations: View citations in EconPapers (3)

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