{"title":"危机条件下美国汽车股票公司多元收益序列动态","authors":"Blanka Łęt","doi":"10.12775/DEM.2010.004","DOIUrl":null,"url":null,"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.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"43-50"},"PeriodicalIF":0.0000,"publicationDate":"2010-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis\",\"authors\":\"Blanka Łęt\",\"doi\":\"10.12775/DEM.2010.004\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":31914,\"journal\":{\"name\":\"Dynamic Econometric Models\",\"volume\":\"10 1\",\"pages\":\"43-50\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-07-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Dynamic Econometric Models\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12775/DEM.2010.004\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Dynamic Econometric Models","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12775/DEM.2010.004","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis
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.
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