East Asian Financial Contagion under DCC-Garch
نویسندگان
چکیده
منابع مشابه
Financial Contagion in the East Asian Crisis
In this chapter, we analyze empirically the existence and extent of financial contagion in the East Asian crisis. We define financial contagion as a significant increase in correlation of financial variables after controlling fundamentals and common shocks, and we develop an autoregressive model to measure contagion. In particular, we attempt to exclude the common effects of the crisis in South...
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The views expressed are those of the author and do not necessarily reflect those of the Federal Reserve Bank of New York or the Federal Reserve System.
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ژورنال
عنوان ژورنال: International Journal of Banking and Finance
سال: 2009
ISSN: 1675-722X
DOI: 10.32890/ijbf2009.6.1.8380