英文标题：
《Contagion among Central and Eastern European stock markets during the
  financial crisis》
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作者：
Jozef Barunik, Lukas Vacha
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最新提交年份：
2013
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英文摘要：
  This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in a time-frequency domain. While major part of economic time series analysis is done in time or frequency domain separately, wavelet analysis combines these two fundamental approaches. Wavelet techniques uncover interesting dynamics of correlations between the Central and Eastern European (CEE) stock markets and the German DAX at various investment horizons. The results indicate that connection of the CEE markets to the leading market of the region is significantly lower at higher frequencies in comparison to the lower frequencies. Contrary to previous literature, we document significantly lower contagion between the CEE markets and the German DAX after the large 2008 stock market crash.
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中文摘要：
本文对国际股票市场共同运动和传染的文献进行了贡献。我们的方法的新颖之处在于将小波工具应用于高频金融市场数据，这使我们能够在时频域中理解股市之间的关系。虽然经济时间序列分析的主要部分是在时域或频域分别进行的，但小波分析结合了这两种基本方法。小波技术揭示了中欧和东欧（CEE）股市与德国DAX在不同投资期之间有趣的相关性动态。结果表明，与低频率相比，高频率下中欧和东欧市场与该地区主要市场的连接显著降低。与之前的文献相反，我们记录了2008年股市大崩盘后中欧和东欧市场与德国DAX之间的传染率显著降低。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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