Yamani, Ehab A.; Swanson, Peggy E. - In: Journal of International Financial Markets, … 33 (2014) C, pp. 115-136
This paper examines the impact of financial contagion resulting from global financial crises based on analyses of the global value premium as represented by thirteen countries. We propose a new model that is a composite of the asymmetric GARCH model and the Fama–French two factor model. Then...