Joint tests of contagion with applications
Year of publication: |
2019
|
---|---|
Authors: | Fry-McKibbin, Renée ; Hsiao, Cody Yu-Ling ; Martin, Vance |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 3, p. 473-490
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Subject: | Cokurtosis | Coskewness | Covolatility | Equity markets | European financial crisis | Lagrange multiplier tests | Finanzkrise | Financial crisis | Aktienmarkt | Stock market | EU-Staaten | EU countries | Ansteckungseffekt | Contagion effect | Statistischer Test | Statistical test | Theorie | Theory |
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