Fry-McKibbin, Renée; Hsiao, Cody; Tang, Chrismin - In: Open Economies Review 25 (2014) 3, pp. 521-570
Episodes of extraordinary turbulence in global financial markets are examined during nine crises ranging from the Asian crisis in 1997–98 to the recent European debt crisis of 2010–13. After dating each crisis using a regime switching model, the analysis focuses on changes in the dependence...