Contagion in international bond markets during the Russian and the LTCM crises

Journal of Financial Stability

Volumn 2, Issue 1, 2006, Pages 1-27

  Dungey, Mardi ^a,b   Fry, Renée ^a,b   González Hermosillo, Brenda ^c   Martin, Vance ^d  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^c INTERNATIONAL MONETARY FUND   (United States)

^d UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Contagion; Financial crises; Latent factor model; LTCM; Russia; Spillovers

Indexed keywords

EID: 33646142303     PISSN: 15723089     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfs.2005.01.001     Document Type: Article

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