Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients

DOI10.1080/14697688.2012.708776zbMath1280.91204OpenAlexW2118084020MaRDI QIDQ5746778

Thanh-Binh Nguyen Thi, Kuan-Min Wang

Publication date: 8 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.708776

zbMATH Keywords

stock marketAsian financial crisisDCC-GARCH modelcontagion effectICSS algorithm

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Statistical inference in vector autoregressions with possibly integrated processes
• Efficient Tests for an Autoregressive Unit Root
• Empirical modelling of contagion: a review of methodologies

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