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Detecting shift and pure contagion in East Asian markets : a unified approach

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East Asian crisis and currency pressure : the case of India

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Tranquil and crisis windows, heteroscedasticity, and contagion measurement : MS-VAR application of the DCC procedure

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Financial market linkage in East Asian countries

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Tranquil and crisis windows, heteroscedasticity, and contagion measurement : MS-VAR application of the DCC procedure

Pontines, Victor; Siregar, Reza Yamora - In: Applied financial economics 19 (2009) 7/9, pp. 745-752

The key objective of this study is to show that two potential shortcomings of the Determinant of Change in Covariance (DCC) matrix procedure of Rigobon (2003), namely with the arbitrary determination of the windows, i.e. tranquil and crisis periods and the violation of its heteroscedasticity...

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