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Testing for Contagion in International Financial Markets: Which Way to Go? · Study

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PreprintTesting for Contagion in International Financial Markets: Which Way to Go?

Sébastien Wälti2003

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Preprintgreen2003

Testing for Contagion in International Financial Markets: Which Way to Go?

Sébastien Wälti

21 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1980Macroeconomics and Reality 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1996Currency crashes in emerging markets: An empirical treatment 1989Transmission of Volatility Between Stock Markets 1993Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements 2000Contagion: Understanding How It Spreads 1999What caused the Asian currency and financial crisis?

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2008International Linkage of the Russian Market and the Russian Financial Crisis: A Multivariate GARCH Analysis

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2005Empirical modelling of contagion: a review of methodologiesarticle · 12 shared references 2005Coexceedances in financial markets—a quantile regression analysis of contagionarticle · 11 shared references 2006Correlation, Contagion, and Asian Evidencearticle · 11 shared references 2003Contagion and interdependence in stock markets: Have they been misdiagnosed?article · 10 shared references 2005Detecting shift-contagion in currency and bond marketsarticle · 10 shared references 2005Contagion Detection with Switching Regime Models: A Short and Long Run Analysispreprint · 10 shared references

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Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.473561

openalex_workW1839074816

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