Open AccessTesting the Hypothesis of Contagion Using Multivariate Volatility Models
Author(s) -
Emerson Fernandes Marçal,
Pedro L. Valls Pereira
Publication year - 2008
Publication title -
brazilian review of econometrics
Language(s) - English
Resource type - Journals
eISSN - 2526-3722
pISSN - 1980-2447
DOI - 10.12660/bre.v28n22008.1511
Subject(s) - volatility (finance) , economics , sovereign debt , multivariate statistics , financial contagion , econometrics , monetary economics , financial economics , sovereignty , financial crisis , macroeconomics , statistics , mathematics , politics , political science , law