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Theory of contagion
A review of the empirical literature
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Asian crisis asset prices BANCA D'ITALIA bank runs cash flow cent channels co-movements consider Contagion occurs correlation breakdown correlation coefficients Corsetti country-specific shock covariance covariance matrix crises and contagion crisis country crisis in country crisis periods currency crises d'ltalia data-generating process definition devaluation discontinuities distribution econometrician effect emerging markets empirical endowment estimates exchange rate expected return factor loadings Financial Contagion financial markets fundamentals GARCH models global factors herd behavior IMF Working Paper increase informed agent interest rates international investors international reserves international transmission invest Kaminsky Loretan macroeconomic margin calls Markov switching models Mexican crisis multiple equilibria null hypothesis Obstfeld output portfolio allocation price movements private information public signal rates of return Rigobon risky assets self-fulfilling SGMs significant specific speculative attack stock market studies sunspot Temi di discussione tests theoretical transmission mechanism transmission of shocks unpublished paper value at risk variable variance vector volatility event