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Contagion between United States and european markets during the recent crises

Autor
Muñoz, M.P.; Márquez, D.; Sanchez-Espigares, J.
Tipus d'activitat
Article en revista
Revista
AESTIMATIO, the IEB International Journal of Finance
Data de publicació
2011-07
Volum
2011
Número
2
Pàgina inicial
2
Pàgina final
25
DOI
https://doi.org/10.5605/ieb Obrir en finestra nova
Repositori
http://hdl.handle.net/2117/106121 Obrir en finestra nova
https://mpra.ub.uni-muenchen.de/35993/1/MPRA_paper_35993.pdf Obrir en finestra nova
Resum
The main objective of this paper is to detect the existence of financial contagion between the North American and European markets during the recent crises. To accomplish this, the relationships between the US and the Euro zone stock markets are considered, taking the daily equity prices of the Standard and Poor’s 500 as representative of the United States market and for the European market, the five most representative indexes. Time Series Factor Analysis (TSFA) procedure has allowed concentr...
Citació
Muñoz, M.P., Márquez, D., Sanchez-Espigares, J. Contagion between United States and european markets during the recent crises. "AESTIMATIO, the IEB International Journal of Finance", Juliol 2011, vol. 2011, núm. 2, p. 2-25.
Paraules clau
Contagion, Dynamic Conditional Correlation, Financial Markets, Macroeconomic variables, Markov Switching Model, Time Series Factor Analysis
Grup de recerca
ADBD - Anàlisi de Dades Complexes per a les Decisions Empresarials

Participants

Arxius