Browsing Documentos Indexados pela Web of Science by Title "Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching"

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Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching

Rotta, Pedro Nielsen; Pereira, Pedro L. Valls
2016

Over the last decades, the transmissions of international financial events have been the subject of many academic studies focused on multivariate volatility models. This study evaluates the financial contagion between stock ...