Application of dynamic factor modelling to financial contagion
Contagion has been described as the spread of idiosyncratic shocks from one market to another in times of financial turmoil. In this work, contagion has been modelled using a global factor to capture the general market movements and idiosyncratic shocks are used to capture co-movements and volatilit...
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University of Kent
2016
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.682165 |