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Markets connectivity and financial contagion

Grilli, Ruggero; Tedeschi, Gabriele; Gallegati, Mauro - In: Journal of economic interaction and coordination : JEIC 10 (2015) 2, pp. 287-304

Persistent link: https://www.econbiz.de/10011378825

Spillovers of macroeconomic uncertainty among major economies

Yin, Libo; Han, Liyan - In: Applied economics letters 21 (2014) 13/15, pp. 938-944

Persistent link: https://www.econbiz.de/10010418311

A regime switching Skew-normal model for measuring financial crisis and contagion

Chan, Joshua C. C.; Hsiao, Cody Yu-Ling; Fry-McKibbin, … - 2013

Persistent link: https://www.econbiz.de/10009744179

A Regime Switching Skew-Normal Model for Measuring Financial Crisis and Contagion

Chan, Joshua C. C. - 2013

A regime switching skew-normal model for financial crisis and contagion is proposed in which we develop a new class of multiple-channel crisis and contagion tests. Crisis channels are measured through changes in ‘own' moments of the mean, variance and skewness, while contagion is through...

Persistent link: https://www.econbiz.de/10013078922