Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration
Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration
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GIPSI安定下来了吗？
DOI：
10.1016/j.jbankfin.2013.04.035
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发表时间：
2013
影响因子：
3.7
通讯作者：
M. Karoglou
中科院分区：
文献类型：
--
作者：
Bartosz Gebka;M. Karoglou
我们研究了欧洲外围金融市场与德国，法国和英国的整合，使用组合的结构性突变和收益相关性来自几个多变量随机波动模型的测试。我们的研究结果表明，金融一体化在欧元预期中得到加强，在欧洲货币联盟成立后得到进一步加强，并在应对2007/2008年金融危机时得到放大。因此，没有证据表明，问题较多的欧洲国家的股票市场与核心国家脱钩。有趣的是，英国尽管没有加入欧洲货币联盟，但与GIPSI的融合程度并不比德国或法国差。
We investigate the integration of the European peripheral financial markets with Germany, France, and the UK using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models. Our findings suggest that financial integration intensified in anticipation of the Euro, further strengthened by the EMU inception, and amplified in response to the 2007/2008 financial crisis. Hence, no evidence is found of decoupling of the equity markets in more troubled European countries from the core. Interestingly, the UK, despite staying outside the EMU, is not worse integrated with the GIPSI than Germany or France.
打破股票收益的非正态性
DOI：
10.1080/13518470902872343
发表时间：
2009
期刊：
The European Journal of Finance
影响因子：
--
作者：
Karoglou M
通讯作者：
Karoglou M