Coexceedances in financial markets--a quantile regression analysis of contagion
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 6 (2005)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/inca/620356
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- Jorge A. Chan-Lau & Donald J. Mathieson & James Y. Yao, 2004.
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- Paul Cashin & Manmohan S. Kumar & C. John McDermott, 1995. "International Integration of Equity Markets and Contagion Effects," IMF Working Papers 95/110, International Monetary Fund.
- Taimur Baig & Ilan Goldfajn, 2000.
"The Russian default and the contagion to Brazil,"
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420, Department of Economics PUC-Rio (Brazil).
- Calvo, Guillermo A. & Mendoza, Enrique G., 2000.
"Rational contagion and the globalization of securities markets,"
Journal of International Economics,
Elsevier, vol. 51(1), pages 79-113, June.
- Guillermo A. Calvo & Enrique G. Mendoza, 1999. "Regional Contagion and the Globalization of Securities Markets," NBER Working Papers 7153, National Bureau of Economic Research, Inc.
- Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
- Annette Vissing-Jorgensen, 2002. "Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures," NBER Working Papers 8884, National Bureau of Economic Research, Inc.
- Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
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