A multicountry measure of comovement and contagion in international markets: definition and applications
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
https://link.springer.com/content/pdf/10.1007/s11156-021-01025-9.pdf
Reference44 articles.
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2. Aloui R, Aïssa MSB, Nguyen DK (2011) Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? J Bank Finance 35(1):130–141
3. Amidi S, Majidi FA (2020) Geographic proximity, trade and economic growth: A spatial econometrics approach. Ann GIS 26(1):49–63
4. Ang A, Chen J (2002) Asymmetric correlations of equity portfolios. J Financ Econ 63(3):443–494
5. Arakelian V, Dellaportas P (2012) Contagion determination via copula and volatility threshold models. Quantitative Finance 12(2):295–310
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