Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach

Author:

Guidolin MassimoORCID,Hansen Erwin,Pedio Manuela

Funder

FONDECYT

Treasury

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference69 articles.

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4. On the identification of interdependence and contagion of financial crises;Bacchiocchi;Oxf. Bull. Econ. Stat.,2017

5. Eurozone Sovereign Bond Crisis: Liquidity or Fundamental Contagion;Bai,2012

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