Browsing FGV EESP - Textos para Discussão / Working Paper Series by Author "Kohn, Maximilian-Benedikt Herwarth Detlef"

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Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Kohn, Maximilian-Benedikt Herwarth Detlef; Pereira, Pedro L. Valls
2016-05-16

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model ...