Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises

North American Journal of Economics and Finance

Volumn 18, Issue 2, 2007, Pages 155-174

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

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^c INTERNATIONAL MONETARY FUND   (United States)

^d UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Contagion; Factor models; LTCM; Multiple regimes; Russian crisis

Indexed keywords

EID: 34547406839     PISSN: 10629408     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.najef.2007.05.003     Document Type: Article

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