A new analytical approach for identifying market contagion
Abstract This study proposed a new analytical approach to identify the excessive comovement of two markets as contagion. This goal is achieved by linking latent-factor and single-equation error correction models and evaluating the breaks in the short- and long-term relationships and correlatedness i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2022-04-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-022-00339-4 |