Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion

Computational Statistics and Data Analysis

Volumn 54, Issue 11, 2010, Pages 2443-2458

  Billio, Monica ^a,c,d   Caporin, Massimiliano ^b,c  

^a CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

^b UNIVERSITY OF PADOVA   (Italy)

^c GRETA Associati   (Italy)

^d School for Advanced Studies in Venice (SSAV)   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION MATRIX; CORRELATION MATRIX DISTANCES; DATA-DRIVEN; EMPIRICAL EVIDENCE; GRAPHICAL ANALYSIS; ROLLING WINDOW; SIMULTANEOUS EQUATIONS; STOCK MARKET;

COMMERCE; FINANCE; STATISTICAL TESTS;

REGRESSION ANALYSIS;

EID: 77955270915     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2009.03.018     Document Type: Article

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