Determinants of stock market comovements among US and emerging economies during the US financial crisis
Year of publication: |
2013
|
---|---|
Authors: | Hwang, Eugene ; Min, Hong-ghi ; Kim, Bonghan ; Kim, Hyeongwoo |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 35.2013, p. 338-348
|
Subject: | Dynamic conditional correlations | Contagion | Herding | US financial crisis | VIX index | CDS spread | Finanzkrise | Financial crisis | Aktienmarkt | Stock market | Schwellenländer | Emerging economies | Kreditderivat | Credit derivative | Volatilität | Volatility | Korrelation | Correlation | Spillover-Effekt | Spillover effect | Herdenverhalten | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Ansteckungseffekt | Contagion effect |
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