Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion

Monica Billio, Massimiliano Caporin. Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion. Computational Statistics & Data Analysis, 54(11):2443-2458, 2010. [doi]

Authors

Monica Billio

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Massimiliano Caporin

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