A wavelet-based approach to test for financial market contagion

Author:

Gallegati Marco

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference33 articles.

1. Ait-Sahalia, J., Cacho-Diaz, J., Laeven, R.J.A., 2010. Modeling financial contagion using mutually exciting jump processes. NBER Working Paper No. 15850, p. 150.

2. A new approach to measuring financial contagion;Bae;Rev. Financial Stud.,2003

3. Baig, T., Goldfajn, I., 1998. Financial market contagion in the Asian crises. IMF Working Paper No. 98/155.

4. Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion;Billio;Comput. Statist. Data Anal.,2010

5. Evidences of interdependence and contagion using a frequency domain framework;Bodart;Emerg. Mark. Rev.,2009

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