A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
Year of publication: |
2013
|
---|---|
Authors: | Henri Audigé |
Institutions: | EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) |
Subject: | Bond market | contagion | European crisis | multivariate GARCH models |
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