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Financial Contagion, Vulnerability and Information Flow: Empirical Identification

Weber, Enzo (2009) Financial Contagion, Vulnerability and Information Flow: Empirical Identification. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 431, Working Paper, Regensburg.

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Date of publication of this fulltext: 05 Aug 2009 14:00

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This paper proposes a new approach to modelling financial transmission effects. In simultaneous systems of stock returns, fundamental shocks are identified through heteroscedasticity. The size of contemporaneous spillovers is determined in the fashion of smooth transition regression by the innovations' variances and (negative) signs, both representing typical crisis-related magnitudes. Thereby, ...


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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:10 July 2009
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
RePEc:bay:rdwiwi:8573RePEc Handle
C32Journal of Economics Literature Classification
G15Journal of Economics Literature Classification
Keywords:Contagion, Vulnerability, Identification, Smooth Transition Regression
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:8573
Owner only: item control page


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