Integration, financial contagion and securities risk: Empirical evidence for the period 1995-2016
Contagion is generally defined as the correlation between markets above what is already implicit in the fundamentals of the underlying assets. However, there is considerable disagreement on definitions of the foundations and the mechanisms that link these asset returns. The present study aims to cap...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2016 |
| País: | España |
| Institución: | Universidad Autónoma de Madrid |
| Repositorio: | Biblos-e Archivo. Repositorio Institucional de la UAM |
| Idioma: | español |
| OAI Identifier: | oai:repositorio.uam.es:10486/685360 |
| Acceso en línea: | http://hdl.handle.net/10486/685360 https://dx.doi.org/10.1016/j.cesjef.2016.09.003 |
| Access Level: | acceso abierto |
| Palabra clave: | Correlation Financial contagion Financial risk GARCH DCC Economía |
| Sumario: | Contagion is generally defined as the correlation between markets above what is already implicit in the fundamentals of the underlying assets. However, there is considerable disagreement on definitions of the foundations and the mechanisms that link these asset returns. The present study aims to capture and detect the spread between the main stock indices in the United States, Europe and Asia markets. |
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