Measuring financial contagion : dealing with the volatility Bias in the correlation dynamics
Year of publication: |
2023
|
---|---|
Authors: | Starkey, Christopher Michael ; Tsafack, Georges |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 90.2023, p. 1-15
|
Subject: | Contagion | Rank correlation | Volatility bias | Volatilität | Volatility | Korrelation | Correlation | Systematischer Fehler | Bias | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Ansteckungseffekt | Contagion effect | Schätzung | Estimation |
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