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Multi-feature evaluation of financial contagion
Financial contagion refers to the spread of market turmoils, for example from one country or index to another country or another index. It is standardly assessed by modelling the evolution of the correlation matrix, for example of returns, usually after removing univariate dynamics with the GARCH mo...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8212798/ https://www.ncbi.nlm.nih.gov/pubmed/34177365 http://dx.doi.org/10.1007/s10100-021-00756-3 |