A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy
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More about this item
KeywordsFrontier markets; Transfer entropy; Dynamic conditional correlation; Contagion; Housing market crisis; European debt crisis;
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
- F22 - International Economics - - International Factor Movements and International Business - - - International Migration
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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