Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/16533 |
Resumo: | Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis |
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Kohn, Maximilian-Benedikt Herwarth DetlefPereira, Pedro L. VallsEscolas::EESP2016-05-16T19:30:01Z2016-05-16T19:30:01Z2016-05-16TD 418http://hdl.handle.net/10438/16533Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisisengEESP - Textos para Discussão;td 418Speculative bubblesBehavioral nanceNancial contagionDCCEconomiaMercado financeiroCrise financeiraFinanças - Modelos econométricosSpeculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation modelinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTD 418 - CEQEF 26.pdfTD 418 - CEQEF 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|
dc.title.por.fl_str_mv |
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model |
title |
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model |
spellingShingle |
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model Kohn, Maximilian-Benedikt Herwarth Detlef Speculative bubbles Behavioral nance Nancial contagion DCC Economia Mercado financeiro Crise financeira Finanças - Modelos econométricos |
title_short |
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model |
title_full |
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model |
title_fullStr |
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model |
title_full_unstemmed |
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model |
title_sort |
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model |
author |
Kohn, Maximilian-Benedikt Herwarth Detlef |
author_facet |
Kohn, Maximilian-Benedikt Herwarth Detlef Pereira, Pedro L. Valls |
author_role |
author |
author2 |
Pereira, Pedro L. Valls |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.author.fl_str_mv |
Kohn, Maximilian-Benedikt Herwarth Detlef Pereira, Pedro L. Valls |
dc.subject.por.fl_str_mv |
Speculative bubbles Behavioral nance Nancial contagion DCC |
topic |
Speculative bubbles Behavioral nance Nancial contagion DCC Economia Mercado financeiro Crise financeira Finanças - Modelos econométricos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Mercado financeiro Crise financeira Finanças - Modelos econométricos |
description |
Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis |
publishDate |
2016 |
dc.date.accessioned.fl_str_mv |
2016-05-16T19:30:01Z |
dc.date.available.fl_str_mv |
2016-05-16T19:30:01Z |
dc.date.issued.fl_str_mv |
2016-05-16 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/16533 |
dc.identifier.sici.none.fl_str_mv |
TD 418 |
identifier_str_mv |
TD 418 |
url |
http://hdl.handle.net/10438/16533 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
EESP - Textos para Discussão;td 418 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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