Markets contagion during financial crisis : a regime-switching approach
Year of publication: |
2011
|
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Authors: | Guo, Feng ; Chen, Carl R. ; Huang, Ying |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 20.2011, 1, p. 95-109
|
Subject: | Financial crisis | Credit default swap | Real estate market | Stock market | Oil price | Markov regime-switching VAR | Finanzkrise | Kreditderivat | Credit derivative | Markov-Kette | Markov chain | Immobilienmarkt | Aktienmarkt | Schätzung | Estimation | Volatilität | Volatility | Welt | World | Ansteckungseffekt | Contagion effect | ARCH-Modell | ARCH model | Ölpreis |
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