Weber, Enzo (2009) Financial Contagion, Vulnerability and Information Flow: Empirical Identification. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 431, Working Paper, Regensburg.
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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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| Item type: | Monograph (Working Paper) | ||||||
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| 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 | ||||||
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| Keywords: | Contagion, Vulnerability, Identification, Smooth Transition Regression | ||||||
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||||
| Status: | Published | ||||||
| Refereed: | No, this document will not be refereed | ||||||
| Created at the University of Regensburg: | Yes | ||||||
| Item ID: | 8573 |
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