Marcal, Emerson Fernandes; Pereira, Pedro Valls; … - In: Applied Economics 43 (2011) 19, pp. 2365-2379
This article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994 to 2003. The econometrics methodology used is that of multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family...