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~institution:"Finance Discipline Group, Business School"
~isPartOf:"Research Paper Series / Finance Discipline Group, Business School"
~subject:"contagion"
~subject:"omitted variable test"
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contagion
omitted variable test
GARCH
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asymmetric GARCH models
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autocorrelation function of squared observations
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conditional variance model
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constant conditional correlation
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emerging capital markets in central and eastern european contries
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feedback trading
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Endogenous Crisis Dating and Contagion Using Smooth Transition Structural
GARCH
Dungey, Mardi
;
Milunovich, George
;
Thorp, Susan
;
Yang, …
-
Finance Discipline Group, Business School
-
2012
smooth transition functions with structural
GARCH
to identify both features of markets in crisis, and provide conditions …
Persistent link: https://www.econbiz.de/10010643368
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