Financial Contagion, Vulnerability and Information Flow: Empirical Identification

URN to cite this document:: urn:nbn:de:bvb:355-epub-85730
DOI to cite this document:: 10.5283/epub.8573

Weber, Enzo

Preview

PDF
(429kB)

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

Alternative links to fulltext:Repec

Details

Preview

Export bibliographical data

Abstract

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, ...