Correlation vs. Causality in Stock Market Comovement
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- Weber, Enzo, 2009. "Financial Contagion, Vulnerability and Information Flow: Empirical Identification," University of Regensburg Working Papers in Business, Economics and Management Information Systems 431, University of Regensburg, Department of Economics.
More about this item
KeywordsIdentification; Spillover; Common Factor; Structural EGARCH; DAX;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-12-15 (All new papers)
- NEP-ECM-2007-12-15 (Econometrics)
- NEP-ETS-2007-12-15 (Econometric Time Series)
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