Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets
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DOI: 10.1016/j.irfa.2013.07.007
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More about this item
Keywords
Stock markets; Nonlinear causality; Filtering; GJR-GARCH; Multivariate GARCH models; Spillovers;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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