Unobservable shocks as carriers of contagion

Journal of Banking and Finance

Volumn 34, Issue 5, 2010, Pages 1008-1021

  Dungey, Mardi ^a,b   Milunovich, George ^c   Thorp, Susan ^d  

^a UNIVERSITY OF TASMANIA   (Australia)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^c MACQUARIE UNIVERSITY   (Australia)

^d UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Contagion; Structural GARCH

Indexed keywords

EID: 77649188404     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.11.006     Document Type: Article

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