Contagion and interdependence in stock markets: Have they been misdiagnosed?

Author:

Billio Monica,Pelizzon Loriana

Publisher

Elsevier BV

Subject

Economics and Econometrics,General Business, Management and Accounting

Reference29 articles.

1. Ang, A., & Bekaert, G. (1999). International asset allocation with time-varying correlations (NBER Working Paper No. 7056).

2. Baele, L. (2002). Volatility spillover effects in European equity markets: Evidence from a regime switching model, mimeo.

3. Baig, T., & Goldfajin, I. (1999). Financial markets contagion in the Asian crises. IMF Staff Papers, 46(2), 167–195.

4. Bekaert, G., Harvey, C., & Ng, A. (2003). Market integration and contagion. Journal of Business, forthcoming.

5. Bonfiglioli, A., & Favero C. (2000). Measuring co-movements between US and European stock markets. (Working Paper No. 165). IGIER, Bocconi University.

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