Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion

Journal of International Money and Finance

Volumn 24, Issue 8, 2005, Pages 1317-1334

  Candelon, Bertrand ^a   Hecq, Alain ^a   Verschoor, Willem F C ^b,c  

^a MAASTRICHT UNIVERSITY   (Netherlands)

^b MAASTRICHT UNIVERSITY   (Netherlands)

^c RADBOUD UNIVERSITY NIJMEGEN   (Netherlands)

Author keywords

Co movements; Common cycles; GARCH; Robust tests; Shift contagion; Shocks

Indexed keywords

EID: 29544431858     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2005.08.011     Document Type: Article

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