A test for financial contagion : a multivariate GARCH approach /

A conventional method of testing for financial contagion examines if cross-market correlation coefficients increase significantly after a crisis. Since the conventional test assumes that asset return dynamics are homoscedastic and cross-market correlations are time-invariant, it fails to take into a...

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Bibliographic Details

Main Author:	Chʻoe, Kwang-il
Format:	Thesis Book
Language:	English
Published:	[Place of publication not identified] : [publisher not identified] ; 2003.
Subjects:	Major economics.
Online Access:	http://proxy.library.tamu.edu/login?url=http://proquest.umi.com/pqdweb?did=764816681&sid=1&Fmt=2&clientId=2945&RQT=309&VName=PQD