Testing contagion of the 1997–98 crisis in Asian stock markets with structural breaks and incubation periods

Author:

Baek In-Mee,Jun Jongbyung

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference26 articles.

1. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

2. A new approach to measuring financial contagion;Bae;The Review of Financial Studies,2003

3. Estimating and testing linear models with multiple structural changes;Bai;Econometrica,1998

4. Computation and analysis of multiple structural change models;Bai;Journal of Applied Econometrics,2003

5. Financial market contagion in the Asian crisis;Baig;IMF Staff Papers,1999

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