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Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework

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  • Mobeen Ur Rehman

    (Assistant Professor, Shaheed Zulfikar Ali Bhutto Institute of Science and Technology, Islamabad, Pakistan)

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  • Mobeen Ur Rehman, 2016. "Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 21(2), pages 121-151, July-Dec.
    • Handle: RePEc:lje:journl:v:21:y:2016:i:2:p:121-151
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    File URL: http://lahoreschoolofeconomics.edu.pk/EconomicsJournal/Journals/Volume%2021/Issue%202/05%20Rehman.pdf
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    More about this item

    Keywords

    Emerging and frontier Asian markets; financial contagion; financial crisis; dynamic conditional correlation;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F3 - International Economics - - International Finance
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

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