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On spatial contagion and multivariate GARCH models

Published:2013-04-25 Issue:3 Volume:30 Page:303-327
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Jaworski Piotr¹,Pitera Marcin²

Affiliation:

1. Institute of Mathematics; University of Warsaw; Warzawa Poland

2. Faculty of Mathematics and Computer Science; Jagiellonian University; Kraków Poland

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/asmb.1977/fullpdf

Reference48 articles.

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

2. Empirical evidence on spatial contagion between financial markets;Bradley;Finance Letters,2005

3. Framework for analyzing spatial contagion between financial markets;Bradley;Finance Letters,2004

4. How to estimate spatial contagion between financial markets;Bradley;Finance Letters,2005

5. Herd behavior and contagion in financial markets;Cipriani;BE Journal of Theoretical Economics,2008

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