‘Slow-burn’ spillover and ‘fast and furious’ contagion: a study of international stock markets

DOI10.1080/14697688.2014.952242zbMath1398.91554OpenAlexW2100274425MaRDI QIDQ4683033

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Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.952242

zbMATH Keywords

interdependencecontagionstock marketsinternational portfolio analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

Contagion effects among stock markets, treasury bill, petroleum, gold, and cryptocurrency during the COVID-19 pandemic: a dynamic conditional correlation approach

Uses Software

• TETRAD

Cites Work

• Unnamed Item
• Contagion around the October 1987 stock market crash
• Cointegration rank switching model: an application to forecasting interest rates
• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
• Some tests for parameter constancy in cointegrated VAR‐models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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