Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
نویسندگان
چکیده
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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ورودعنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 54 شماره
صفحات -
تاریخ انتشار 2010