Measuring Stock Market Contagion with an Application to the Sub-prime Crisis
Year of publication: |
2009-07
|
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Authors: | Mink, Mark ; Mierau, Jochen |
Institutions: | de Nederlandsche Bank |
Subject: | Contagion | Heteroskedasticity | Dynamic Conditional Correlation | Sub-prime Crisis | East Asian Crisis |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C14 - Semiparametric and Nonparametric Methods ; F36 - Financial Aspects of Economic Integration ; G15 - International Financial Markets |
Source: |
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