Dungey, Mardi; Jacobs, Jan; Lestano - School of Economics and Finance, Tasmanian School of … - 2010
This paper investigates the extent of concordance in financial crises by both asset market and country in six Asian countries over the period 1970-2002. To that purpose we adapt a concordance index to deal with the typically low incidence of financial crises in both bivariate and multivariate...