Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model
Author:
Affiliation:
1. Sao Paulo School of Economics - FGV, Sao Paulo, Brazil
2. Sao Paulo School of Economics - FGV and CEQEF - FGV, Sao Paulo, Brazil
Funder
FAPESP
CNPq
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.cogentoa.com/article/10.1080/23322039.2017.1411453.pdf
Reference62 articles.
1. Bubbles and Crashes
2. Dynamic Conditional Correlation: On Properties and Estimation
3. Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?
4. The Contagion Effects of Financial Crisis on Stock Markets: What Can We Learn From a Cointegrated Vector Autoregressive Approach for Developed Countries?
5. RISK PERCEPTION IN PSYCHOLOGY AND ECONOMICS
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