A statistical procedure for testing financial contagion
The aim of the paper is to provide an analysis of contagion through the measurement of the risk premia disequilibria dynamics. In order to discriminate among several disequilibrium situations we propose to test contagion on the basis of a two-step procedure: in the first step we estimate the prefere...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Bologna
2013-05-01
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| Series: | Statistica |
| Online Access: | http://rivista-statistica.unibo.it/article/view/3633 |