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accept the null Appendix asset prices asset returns assumption auctions averages of returns Bank of Italy bias bivariate normally distributed Boyer Claessens common factor comovements correlation coefficient country-specific factors country-specific noise country-specific shocks Cov(ri,rj covariance crisis in country crisis originates crisis periods cross-market links data-generating process denote Economic Email evidence of contagion factor loadings factor model fifth column Financial Contagion Fisher test Forbes and Rigobon homoskedastic Hong Kong stock hypothesis of interdependence increase Indonesia Kong stock market Loretan and English Marcello Pericoli Massimo Sbracia measure of interdependence multivariate normal distributions normally distributed null hypothesis null of interdependence Paul Klemperer Philippines PITFALLS IN TESTS Policy rates of return reject interdependence return in country Singapore statistic stock market crisis stock market index stock market returns strong result structural break Technology Shocks test rejects testing for contagion threshold tranquil and crisis tranquil period transmission mechanism two-day rolling averages Var(f Var(rj