Chevapatrakul, Thanaset; Tee, Kai-Hong - In: Research in International Business and Finance 32 (2014) C, pp. 83-105
In this paper, we use the quantile regression technique along with coexceedance, a contagion measure, to assess the extent to which news events contribute to contagion in the stock markets during the crisis period between 2007 and 2009. Studies have shown that, not only the subprime crisis leads...
