Determination of the Time of Contagion in Capital Markets Based on the Switching Model
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References listed on IDEAS
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More about this item
Keywordsswitching model; DCC-model; contagion.;
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
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