Public Sector Economics

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An international integration history of the Zagreb Stock Exchange



Luka Šikić*
   
Mislav Šagovac**
Article   |   Year:  2017   |   Pages:  227 - 257   |   Volume:  41   |   Issue:  2
Received:  December 21, 2016   |   Accepted:  March 14, 2017   |   Published online:  June 15, 2017
Download citation        https://doi.org/10.3326/pse.41.2.4       


Figure 1
Return plots of the series
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Table 1
Descriptive statistics of return series
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Table 2
Simple correlation coefficients for the full sample period (annual averages)
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Table 3A
Selected univariate GARCH models and parameter estimation results for the full sample period
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Table 3B
Selected bivariate asymmetric dynamic conditional correlation models and parameter estimation results for the full sample period
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Table 3C
Dynamic conditional correlation estimates for the full sample period (annual averages)
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Figure 2
Conditional correlations from the estimated A/DCC model
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Table 4A
Dynamic conditional correlation estimates for the Russian crisis (period averages)
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Table 5A
Dynamic conditional correlation estimates for the dot-com and 9/11 crisis (period averages)
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Table 6A
Dynamic conditional correlation estimates for the subprime mortgage crisis (period averages)
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Table 7A
Dynamic conditional correlation estimates for EU accession (period averages)
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Table 4B
Selected univariate GARCH models and parameter estimation results for the pre-Russian crisis period
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Table 4C
Selected bivariate asymmetric/dynamic conditional correlation models and parameter estimation results for the pre-Russian crisis period
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Table 4D
Selected univariate GARCH models and parameter estimation results for the post-Russian crisis period
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Table 4E
Selected bivariate models and parameter estimation results for the post-Russian crisis period
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Table 5B
Selected univariate GARCH models and parameter estimation results for the pre-dot-com and 9/11 period
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Table 5C
Selected bivariate models and parameter estimation results for the pre-dot-com and 9/11 period
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Table 5D
Selected univariate GARCH models and parameter estimation results for the dot-com and 9/11 crisis period
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Table 5E
Selected bivariate models and parameter estimation results for the dot-com and 9/11 period
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Table 5F
Selected univariate GARCH models and parameter estimation results for the post-dot-com and 9/11 period
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Table 5G
Selected bivariate models and parameter estimation results for the post-dot-com and 9/11 period
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Table 6B
Selected univariate GARCH models and parameter estimation results for the pre-subprime mortgage crisis period
DISPLAY Table

Table 6C
Selected bivariate models and parameter estimation results for the pre-subprime mortgage crisis period
DISPLAY Table

Table 6D
Selected univariate GARCH models and parameter estimation results for the subprime mortgage crisis period
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Table 6E
Selected bivariate models and parameter estimation results for the subprime mortgage crisis period
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Table 6F
Selected univariate GARCH models and parameter estimation results for the post-subprime mortgage crisis period
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Table 6G
Selected bivariate models and parameter estimation results for the post-subprime mortgage crisis period
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Table 7B
Selected univariate GARCH models and parameter estimation results for the announcement period
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Table 7C
Selected bivariate models and parameter estimation results for the announcement period
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Table 7D
Selected univariate GARCH models and parameter estimation results for the post-accession period
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Table 7E
Selected bivariate models and parameter estimation results for the post-accession period
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  June, 2017
II/2017