Kenourgios, Dimitris; Samitas, Aristeidis; Paltalidis, Nikos - In: Journal of International Financial Markets, … 21 (2011) 1, pp. 92-106
This paper investigates financial contagion in a multivariate time-varying asymmetric framework, focusing on four emerging equity markets, namely Brazil, Russia, India, China (BRIC) and two developed markets (U.S. and U.K.), during five recent financial crises. Specifically, both a multivariate...