A statistical procedure for testing financial contagion
From MaRDI portal
Publication:5148591
DOI10.6092/issn.1973-2201/3633zbMath1453.62707OpenAlexW1648334798MaRDI QIDQ5148591
Attilio Gardini, Luca De Angelis
Publication date: 4 February 2021
Full work available at URL: https://doaj.org/article/d16957ba1c2b495eb85f2c3ca4fcabbf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- Fragile beliefs and the price of uncertainty
- Herd Behavior and Contagion in Financial Markets
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Prospect Theory: An Analysis of Decision under Risk
- GMM with Weak Identification
- Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
- Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
- Empirical modelling of contagion: a review of methodologies
- Exposition of a New Theory on the Measurement of Risk
- International Financial Integration and Crisis Contagion
- Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
This page was built for publication: A statistical procedure for testing financial contagion
