Lee, Hee Soo; Kim, Tae Yoon - In: Financial innovation : FIN 8 (2022), pp. 1-35
This study proposed a new analytical approach to identify the excessive comovement of two markets as contagion. This goal is achieved by linking latent-factor and single-equation error correction models and evaluating the breaks in the short- and long-term relationships and correlatedness in the...