Contagion effect of financial crisis on OECD stock markets
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- Houssem Rachdi & Rym Ben Selma Mokni & Sana Khemiri, 2013. "The Impact of the International Financial Crisis on the Stock Market Return: The Case of Tunisian Stock Exchange," Journal of Empirical Economics, Research Academy of Social Sciences, vol. 1(2), pages 67-74.
- Karanasos, Menelaos & Yfanti, Stavroula & Karoglou, Michail, 2016. "Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 332-349.
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KeywordsFinancial crisis; integration; contagion; multivariate GARCH-DCC model;
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F15 - International Economics - - Trade - - - Economic Integration
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-25 (All new papers)
- NEP-EEC-2011-06-25 (European Economics)
- NEP-FMK-2011-06-25 (Financial Markets)
- NEP-IFN-2011-06-25 (International Finance)
- NEP-MAC-2011-06-25 (Macroeconomics)
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