Disequilibria and contagion in financial markets : evidence from a new test
Year of publication: |
November 2015
|
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Authors: | De Angelis, Luca ; Gardini, Attilio |
Published in: |
Journal of applied economics. - Buenos Aires, ISSN 1514-0326, ZDB-ID 1480229-6. - Vol. 18.2015, 2, p. 247-265
|
Subject: | financial contagion | risk premium disequilibrium | cross-country return correlations | financial crises | DCC-GARCH model | C-CAPM | Ansteckungseffekt | Contagion effect | Finanzkrise | Financial crisis | Risikoprämie | Risk premium | Schätzung | Estimation | Finanzmarkt | Financial market | CAPM | Korrelation | Correlation | Welt | World | Theorie | Theory | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Bankenkrise | Banking crisis |
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