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Applied Financial Economics Volume 19, 2009 - Issue 9
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Original Articles

Tranquil and crisis windows, heteroscedasticity, and contagion measurement: MS-VAR application of the DCC procedure

Victor Pontines H. John Heinz III School of Public Policy and Management, Carnegie Mellon University, Adelaide, Australia
&
Reza Y. Siregar The School of Economics, University of Adelaide, SA, 5005, Australia; IMF-Singapore Regional Training Institute, Singapore, Republic of SingaporeCorrespondence[email protected]
Pages 745-752 | Published online: 07 Apr 2009

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Xiao Jing Cai, Shuairu Tian & Shigeyuki Hamori. (2016) Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets. Applied Economics 48:40, pages 3789-3803.
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Articles from other publishers (6)

Miriam Sosa, Edgar Ortiz & Alejandra Cabello. (2022) ESG Green Equity Finance Risk and Links in Mexico: Conditional Volatility and Markov Switching Vector Analyses. Revista Mexicana de Economía y Finanzas 17:4, pages 1-21.
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Artan Sulejmani & Dragan Tevdovski. (2022) How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances. South East European Journal of Economics and Business 17:1, pages 1-13.
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Jungmu Kim & Yuen Jung Park. (2020) Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market. Journal of Derivatives and Quantitative Studies: 선물연구 28:3, pages 107-122.
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K. Smimou & W. Khallouli. (2016) On the intensity of liquidity spillovers in the Eurozone. International Review of Financial Analysis 48, pages 388-405.
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Michele Costa, Luca De Angelis & Leonard J. Paas. 2012. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Mathematical and Statistical Methods for Actuarial Sciences and Finance 131 138 .
Shamila A. Jayasuriya. (2011) Stock market correlations between China and its emerging market neighbors. Emerging Markets Review 12:4, pages 418-431.
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