Testing for financial spillovers in calm and turbulent periods

Author:

Białkowski Jędrzej,Bohl Martin T.,Serwa Dobromił

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. International asset allocation with regime shifts;Ang;The Review of Financial Studies,2002

2. How do regimes affect asset allocation?;Ang;Financial Analysts Journal,2004

3. Financial contagion, spillovers, and causality in the Markov switching framework;Białkowski;Quantitative Finance,2005

4. Specification testing of Markov switching models;Breunig;Oxford Bulletin of Economics and Statistics,2003

5. Asymmetrical reaction to US stock-return news: Evidence from major stock markets based on a double-threshold model;Chen;Journal of Economics and Business,2003

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