Assessment of stock market contagion during the subprime mortgage crisis using GARCH-in-VAR model
Year of publication: |
2019
|
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Authors: | Kim, Jaehong ; Seo, Byeongseon |
Published in: |
Journal of economic research. - Seoul, ISSN 1226-4261, ZDB-ID 1409101-X. - Vol. 24.2019, 2 (31.8.), p. 129-155
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Subject: | contagion | financial crisis | GARCH-in-VAR | volatility effect | Finanzkrise | Financial crisis | Subprime-Krise | Subprime financial crisis | Ansteckungseffekt | Contagion effect | Volatilität | Volatility | Börsenkurs | Share price | Aktienmarkt | Stock market | Schätzung | Estimation |
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