Endogenous crisis dating and contagion using smooth transition structural GARCH
Mardi Dungey, George Milunovich, Susan Thorp, Minxian Yang
| Year of publication: |
September 2015
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|---|---|
| Authors: | Dungey, Mardi H. ; Milunovich, George ; Thorp, Susan ; Yang, Minxian |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 58.2015, p. 71-79
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| Subject: | Contagion | Structural GARCH | Global Financial Crisis | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Ansteckungseffekt | Contagion effect | Welt | World | Internationaler Finanzmarkt | International financial market | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.04.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011543895