Financial contagion, spillovers and causality in the Markov switching framework

DOI10.1080/14697680500117716zbMath1118.91346OpenAlexW2092426574MaRDI QIDQ5697343

Jędrzej Białkowski, Dobromił Serwa

Publication date: 17 October 2005

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

Full work available at URL: https://doi.org/10.1080/14697680500117716

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Cites Work

• Analysis of time series subject to changes in regime
• A test for volatility spillovers.
• A causality-in-variance test and its application to financial market prices
• Moments of Markov switching models
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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