Caporale, Guglielmo; Pittis, Nikitas; Spagnolo, Nicola - In: Journal of Economics and Finance 30 (2006) 3, pp. 376-390
In this paper we examine the international transmission of the 1997 South East Asia financial crisis. We estimate a bivariate GARCH-BEKK model, and carry out LR tests for causality-in-variance with bootstrapped critical values. Three pairwise models are estimated for US, European, Japanese and...
