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Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals

Marçal, Emerson Fernandes; Pereira, Pedro L. Valls; … - In: Applied economics 43 (2011) 19/21, pp. 2365-2379

Persistent link: https://www.econbiz.de/10009379734

Analysis of the volatility's dependency structure during the subprime crisis

Arruda, Bruno P.; Pereira, Pedro L. Valls - In: Applied economics 45 (2013) 34/36, pp. 5031-5045

Persistent link: https://www.econbiz.de/10010225760

Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching

Rotta, Pedro Nielsen; Pereira, Pedro L. Valls - In: Applied economics 48 (2016) 25/27, pp. 2367-2382

Persistent link: https://www.econbiz.de/10011590996

Speculative bubbles and contagion : analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Herwarth Kohn, Maximilian-Benedikt; Pereira, Pedro L. Valls - In: Cogent economics & finance 5 (2017) 1, pp. 1-28

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other...

Persistent link: https://www.econbiz.de/10011887512