Contagion Effects of US Subprime Crisis on ASEAN-5 Stock Markets: Evidence from MGARCH-DCC Application
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More about this item
Keywordscontagion; ASEAN stock markets; MGARCH-DCC;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-07-05 (All new papers)
- NEP-BAN-2014-07-05 (Banking)
- NEP-SEA-2014-07-05 (South East Asia)
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