Measuring contagion and interdependence with a Bayesian time-varying coefficient model : an application to the Chilean FX market during the Argentine crisis
Year of publication: |
2007
|
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Authors: | Ciccarelli, Matteo ; Rebucci, Alessandro |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 5.2007, 2, p. 285-320
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Subject: | Ansteckungseffekt | Contagion effect | Finanzkrise | Financial crisis | Devisenmarkt | Foreign exchange market | Bayes-Statistik | Bayesian inference | Argentinien | Argentina | Chile | 1999-2001 |
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