East Asian Financial Contagion under DCC-Garch
We consider the definition and measurement of contagion by analysing the 1997 East Asian financial crisis in the equity markets of eight countries using dynamic conditional correlation (DCC). Taking Thailand and Hong Kong as alternative sources of contagion, a total of fourteen source-target pairs i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2009-03-01
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| Series: | The International Journal of Banking and Finance |
| Subjects: | |
| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8380 |