International financial contagion of the US sub-prime crisis: evidence through the adjusted correlation test and non-linear Error Correction Models (ECM)
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- Chunxiu, Ma & Masih, Mansur, 2014. "Contagion Effects of US Subprime Crisis on ASEAN-5 Stock Markets: Evidence from MGARCH-DCC Application," MPRA Paper 57004, University Library of Munich, Germany.
- Anis Omri & Mohamed Frikha, 2011. "No Contagion, Only Interdependence During the US Sub-Primes Crisis," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(2), pages 286-298, December.
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Keywordssub-prime mortgages; financial crises; international contagion; adjusted correlation tests; nonlinear error correction models; USA; United States; market coefficients; non-linearity; propagation mechanisms; propagation shocks; long-term interdependence; financial markets; risk perceptions; risk measurement; France; Germany; Japan; UK; United Kingdom; monetary economics; finance.;
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