Endogenous crisis dating and contagion using smooth transition structural GARCH
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DOI: 10.1016/j.jbankfin.2015.04.006
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- Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang, 2012. "Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH," Research Paper Series 312, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
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More about this item
Keywords
Contagion; Structural GARCH; Global Financial Crisis;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
Statistics
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