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International crises, instability periods and contagion: the case of the ERM

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Author Info
Emanuele Bacchiocchi ()
Marta Bevilacqua ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s12232-009-0064-y
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Publisher Info
Article provided by Springer in its journal International Review of Economics.

Volume (Year): 56 (2009)
Issue (Month): 2 (June)
Pages: 105-122
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:inrvec:v:56:y:2009:i:2:p:105-122

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Web page: http://www.springer.com/economics/journal/12232

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Related research
Keywords: Contagion; SWARCH; ERM; C3; E3; F3;

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References listed on IDEAS
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  1. Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Blackwell Publishing, vol. 98(4), pages 463-84, December.
  2. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(1), pages 5-33. [Downloadable!] (restricted)
    Other versions:
  3. Marcel Fratzscher, 2003. "On currency crises and contagion," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(2), pages 109-129. [Downloadable!]
    Other versions:
  4. Uma Moorthy & W. R. M. Perraudin & Manmohan S. Kumar, 2002. "Predicting Emerging Market Currency Crashes," IMF Working Papers 02/7, International Monetary Fund.
  5. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, 09. [Downloadable!] (restricted)
  6. Giampiero M. Gallo & Edoardo Otranto, 2007. "Volatility transmission across markets: a Multichain Markov Switching model," Applied Financial Economics, Taylor and Francis Journals, vol. 17(8), pages 659-670. [Downloadable!] (restricted)
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  7. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge. [Downloadable!]
  8. Pesaran, M. Hashem & Pick, Andreas, 2007. "Econometric issues in the analysis of contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1245-1277, April. [Downloadable!] (restricted)
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  9. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(2), pages 281-307. [Downloadable!] (restricted)
  10. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333. [Downloadable!] (restricted)
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  11. Helen Higgs & Andrew C. Worthington, 2004. "Transmission of returns and volatility in art markets: a multivariate GARCH analysis," Applied Economics Letters, Taylor and Francis Journals, vol. 11(4), pages 217-222, March. [Downloadable!] (restricted)
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This page was last updated on 2009-12-4.

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