Did Vietnam stock market avoid the “contagion risk” from China and the U.S.? The contagion effect test with dynamic correlation coefficients
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- repec:eee:phsmap:v:480:y:2017:i:c:p:10-21 is not listed on IDEAS
- Mobeen Ur Rehman & Syed Muhammad Amir Shah, 2016. "Does Bilateral Market and Financial Integration Explains International Co-Movement Patterns 1," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 4(2), pages 1-13, May.
- Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
More about this item
KeywordsVietnam stock market; Contagion risk; EGARCH model; DCC estimation; Sub-prime mortgage crisis;
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