Market Linkages, Variance Spillovers and Correlation Stability: Empirical Evidences of Financial Contagion
نویسندگان
چکیده
منابع مشابه
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
We propose a simultaneous equation system with GARCHX errors to model the contemporaneous relations among Asian and American stock markets. We thus evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance which allows a simple graphical analysis of contagion. The empirical analysis on Asian and American stock markets shows some evidences of contagion.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1020014