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Coexceedances in financial markets--a quantile regression analysis of contagion

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  • Baur, Dirk
  • Schulze, Niels

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File URL: http://www.sciencedirect.com/science/article/B6W69-4FC44BF-1/2/99fc74b290a37bfae05436e8028c7700
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Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 6 (2005)
Issue (Month): 1 (April)
Pages: 21-43

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Handle: RePEc:eee:ememar:v:6:y:2005:i:1:p:21-43

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Web page: http://www.elsevier.com/locate/inca/620356

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References

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  1. Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001. "Correlation Analysis of Financial Contagion: What One Should Know before Running a Test," Temi di discussione (Economic working papers) 408, Bank of Italy, Economic Research and International Relations Area.
  2. Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283.
  3. Ilan Goldfajn & Taimur Baig, 1999. "Financial market contagion in the Asian crisis," Textos para discussão 400, Department of Economics PUC-Rio (Brazil).
  4. Jorge A. Chan-Lau & Donald J. Mathieson & James Y. Yao, 2004. "Extreme Contagion in Equity Markets," IMF Staff Papers, Palgrave Macmillan, vol. 51(2), pages 8.
  5. 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.
  6. Taimur Baig & Ilan Goldfajn, 2000. "The Russian default and the contagion to Brazil," Textos para discussão 420, Department of Economics PUC-Rio (Brazil).
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