A new class of tests of contagion with applications

Journal of Business and Economic Statistics

Volumn 28, Issue 3, 2010, Pages 423-437

  Fry, Reńe ^a   Martin, Vance L ^b   Tang, Chrismin ^c  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b UNIVERSITY OF MELBOURNE   (Australia)

^c LA TROBE UNIVERSITY   (Australia)

Author keywords

Coskewness; Exchange options; Hong Kong crisis; Lagrange multiplier tests; Subprime mortgage crisis

Indexed keywords

EID: 78649411438     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2010.06060     Document Type: Article

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