Arruda, Bruno P.; Pereira, Pedro L. Valls - In: Applied Economics 45 (2013) 36, pp. 5031-5045
In this article, we test the hypothesis of contagion amongst sectors within the United States' economy during the subprime crisis. The econometric methodology applied here is based on the dynamic conditional correlation model proposed by Engle (2002). Further, we applied several Lagrange...