Detecting contagion with correlation : volatility and timing matter
Mardi Dungey & Abdullah Yalama
| Year of publication: |
2010
|
|---|---|
| Authors: | Dungey, Mardi H. ; Yalama, Abdullah |
| Publisher: |
Cambridge : CFAP |
| Subject: | Contagion | interdependence | timing | volatility spillover | Theorie | Theory | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Ansteckungseffekt | Contagion effect |
freely available
| Extent: | Online-Ressource (PDF-Datei: 13 S., 903.97 KB) |
|---|---|
| Series: | CFAP working papers. - Cambridge : [Verlag nicht ermittelbar], ZDB-ID 2639087-5. - Vol. 35 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:1810/225145 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009384425