Dungey, Mardi; Milunovich, George; Thorp, Susan - In: Journal of Banking & Finance 34 (2010) 5, pp. 1008-1021
We propose an identified structural GARCH model to disentangle the dynamics of financial market crises. We distinguish between the hypersensitivity of a domestic market in crisis to news from foreign non-crisis markets, and the contagion imported to a tranquil domestic market from foreign...