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Sudden spikes in global risk
Bacchetta, Philippe; Van Wincoop, Eric - In: Journal of international economics 89 (2013) 2, pp. 511-521
Persistent link: https://www.econbiz.de/10009719568
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10010265964
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Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10010271150
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The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets
Asongu, Simplice A. - 2011
study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and … heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March … foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a …
Persistent link: https://www.econbiz.de/10011410521
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Globalization, financial crisis and contagion : time-dynamic evidence from financial markets of developing countries
Asongu, Simplice A. - 2011
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10011410546
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Political crises and risk of financial contagion in developing countries : evidence from Africa
Asongu, Simplice A. - 2011
instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our …
Persistent link: https://www.econbiz.de/10011410547
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Cyber attacks, spillovers and contagion in the cryptocurrency markets
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
and volatilities (contagion). More precisely, cyber attacks appear to strengthen cross-market linkages, thereby reducing …
Persistent link: https://www.econbiz.de/10012219891
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
dominating in Asia, and regional spillovers in Latin America and the Middle East. -- volatility spillovers ; contagion ; stock …
Persistent link: https://www.econbiz.de/10003887350
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
dominating in Asia, and regional spillovers in Latin America and the Middle East. -- Volatility spillovers ; contagion ; stock …
Persistent link: https://www.econbiz.de/10003891055
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News and correlations of CEEC-3 financial markets
Büttner, David; Hayo, Bernd - 2009
foreign exchange and stock markets, indicating a tendency toward contagion. In searching for the origins of financial market … ; political news ; macroeconomic shocks ; contagion ; DCC-MGARCH …
Persistent link: https://www.econbiz.de/10003908157