Masih, Rumi; Mansur, A.; Masih, M. - In: The European Journal of Finance 10 (2004) 1, pp. 81-104
Given the impact of the October 1987 crash pre-empting fears of a deep-seated financial collapse, there is now much scope for assessing its importance quantitatively. In this paper, time series techniques are used to analyse the dynamic linkages and propagation of shocks among five European...