`Slow-burn' spillover and `fast and furious' contagion: a study of international stock markets
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Cites work
- A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Cointegration rank switching model: an application to forecasting interest rates
- Contagion around the October 1987 stock market crash
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- scientific article; zbMATH DE number 1493045 (Why is no real title available?)
- Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
- Some tests for parameter constancy in cointegrated VAR‐models
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