Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other hand th...

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Bibliographic Details
Main Authors: Maximilian-Benedikt Herwarth Kohn, Pedro L. Valls Pereira
Format: Article
Published: Taylor & Francis Group 2017-01-01
Series:Cogent Economics & Finance
Online Access:http://dx.doi.org/10.1080/23322039.2017.1411453