Browsing Documentos Indexados pela Web of Science by Title "Analysis of the volatility's dependency structure during the subprime crisis"

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Analysis of the volatility's dependency structure during the subprime crisis

Arruda, Bruno Pontes de; Pereira, Pedro L. Valls
2013-12-01

In this article, we test the hypothesis of contagion amongst sectors within the United States' economy during the subprime crisis. The econometric methodology applied here is based on the dynamic conditional correlation ...