Work

Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching

Year: 2015

Type: article

Source: Applied Economics

DOI: 10.1080/00036846.2015.1119794

Authors: Pedro Nielsen Rotta, Pedro L. Valls Pereira

Institutions: Escola de Economia de São Paulo, University at Buffalo, State University of New York

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Fundação de Amparo à Pesquisa do Estado de São Paulo, Conselho Nacional de Desenvolvimento Científico e Tecnológico

OpenAlex ID: W14613453

FWCI: 3.829

Cites: 42

Cited by: 29

Related to: 10