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