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

Blanka Łęt | Zendy

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

Author(s) -

Blanka Łęt

Publication year - 2010

Publication title -

dynamic econometric models

Language(s) - English

Resource type - Journals

eISSN - 2450-7067

pISSN - 1234-3862

DOI - 10.12775/dem.2010.004

Subject(s) - automotive industry , stock (firearms) , stock exchange , multivariate statistics , econometrics , financial crisis , financial economics , economics , business , mathematics , engineering , statistics , finance , macroeconomics , mechanical engineering , aerospace engineering

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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