Contagion around the October 1987 stock market crash

DOI10.1016/J.EJOR.2006.04.046MaRDI QIDQ2383128zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Jian Yang, David A. Bessler

Publication date 5 October 2007

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2006.04.046

zbMATH Keywords

directed acyclic graphsstock market crashhistorical decompositioninternational stock markets

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1493045 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Causal modeling alternatives in operations research: overview and application.
• Causation, prediction, and search
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
• Multivariate cointegration analysis of the Finnish-Japanese stock markets
• Volatility and Links between National Stock Markets

Cited in

(7)

• Time-varying quantile association regression model with applications to financial contagion and VaR
• Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
• The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
• Modeling and forecasting exchange rate volatility in time-frequency domain
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
• Stock market contagion: a new approach
• `Slow-burn' spillover and `fast and furious' contagion: a study of international stock markets

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Uses Software

• TETRAD

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