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]
@article{BillioC10,
title = {Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion},
author = {Monica Billio and Massimiliano Caporin},
year = {2010},
doi = {10.1016/j.csda.2009.03.018},
url = {http://dx.doi.org/10.1016/j.csda.2009.03.018},
tags = {empirical},
researchr = {https://researchr.org/publication/BillioC10},
cites = {0},
citedby = {0},
journal = {Computational Statistics & Data Analysis},
volume = {54},
number = {11},
pages = {2443-2458},
}