Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
Year of publication: |
May-June 2016
|
---|---|
Authors: | Rotta, Pedro Nielsen ; Pereira, Pedro L. Valls |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 25/27, p. 2367-2382
|
Subject: | Contagion | multivariate volatility models | Markovian switching regime | GARCH-GJR-t | Markov-Kette | Markov chain | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Korrelation | Correlation | Ansteckungseffekt | Contagion effect | Schätzung | Estimation |
-
Changqing, Luo, (2015)
-
Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén, (2015)
-
European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen, (2015)
- More ...
-
Analysis of contagion from the constant conditional correlation model with Markov regime switching
Rotta, Pedro Nielsen, (2013)
-
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH
Herencia, Maurício Zevallos, (1998)
-
Analysis of the volatility's dependency structure during the subprime crisis
Arruda, Bruno P., (2013)
- More ...