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Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis

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  • Blanka Let

    (Poznan University of Economics)

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.

Suggested Citation

  • Blanka Let, 2010. "Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 43-50.
    • Handle: RePEc:cpn:umkdem:v:10:y:2010:p:43-50
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    File URL: http://www.dem.umk.pl/dem/archiwa/v10/04_BLet.pdf
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    References listed on IDEAS

    as
    1. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
    2. Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
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