The Emerging Market Crisis and Stock Market Linkages: Further Evidence
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- Cheng Hsiao & Zijun Wang & Jian Yang & Qi Li, 2006. "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 727-744.
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More about this item
Keywordsmarket linkages; emerging stock markets; generalized impulse response analysis; generalized forecast error variance decomposition; rolling VAR analysis;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
- NEP-ETS-2005-10-29 (Econometric Time Series)
- NEP-FIN-2005-10-29 (Finance)
- NEP-FMK-2005-10-29 (Financial Markets)
- NEP-TRA-2005-10-29 (Transition Economics)
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