A wavelet-based approach to test for financial market contagion
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Publication:1927129
DOI10.1016/j.csda.2010.11.003zbMath1254.91657OpenAlexW2048163607MaRDI QIDQ1927129
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.11.003
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Cites Work
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- Volatility spillovers, interdependence and comovements: a Markov switching approach
- Scaling properties of foreign exchange volatility
- Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
- Ten Lectures on Wavelets
- On estimation of the wavelet variance
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