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Financial contagion and the TIR-MIDAS model
Ye, Wuyi; Jiang, Kunliang; Liu, Xiaoquan - In: Finance research letters 39 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012805210
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Detecting contagion in a multivariate time series system : an application to sovereign bond markets in Europe
Blatt, Dominik; Candelon, Bertrand; Manner, Hans - In: Journal of banking & finance 59 (2015), pp. 1-13
Persistent link: https://www.econbiz.de/10011544252
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Contagion among select global equity markets : a time-frequency analysis
Bhandari, Avishek; Kamaiah, Bandi - In: Global economy journal : GEJ 19 (2019) 4, pp. 1950023-1-29
Persistent link: https://www.econbiz.de/10012214476
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The spillover effect on the CEE equity markets and the financial contagion In the context of financial integration
Boghicevici, Claudia; Stamule, Simona; Lolea, Iulian Cornel - In: Romanian journal of economic forecasting 24 (2021) 4, pp. 155-170
Persistent link: https://www.econbiz.de/10013407269
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An empirical assessment of the contagion determinants in the Euro area in a period of sovereign debt risk
Altınbaş, Hazar; Pacelli, Vincenzo; Sica, Edgardo - In: Italian economic journal : official peer-reviewed … 8 (2022) 2, pp. 339-371
Persistent link: https://www.econbiz.de/10013438547
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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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Spatial contagion between financial markets : new evidence of asymmetric measures
Miled, Wafa; Ftiti, Zied; Sahut, Jean-Michel - In: Risk management decisions and value under uncertainty, (pp. 1183-1220). 2022
Persistent link: https://www.econbiz.de/10013342100
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Detecting contagion with correlation : volatility and timing matter
Dungey, Mardi H.; Yalama, Abdullah - 2010
Persistent link: https://www.econbiz.de/10009384425
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Use of unit root methods in early warning of financial crises
Virtanen, Timo; Tölö, Eero; Virén, Matti E. E.; … - 2017
In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for...
Persistent link: https://www.econbiz.de/10011976947
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873