Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH
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More about this item
KeywordsContagion; Structural GARCH;
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-08-21 (All new papers)
- NEP-ETS-2008-08-21 (Econometric Time Series)
- NEP-SEA-2008-08-21 (South East Asia)
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