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A multicountry measure of comovement and contagion in international markets: definition and applications

This paper introduces a new measure of comovement and contagion of crises between countries, applies it to 16 world crises, including the current COVID-19 pandemic, and provides insights regarding the occurrence of contagion during these crises. Our measure demonstrates several important advantages...

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Detalles Bibliográficos
Autores principales: Tessler, Nina, Venezia, Itzhak
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8747853/
http://dx.doi.org/10.1007/s11156-021-01025-9