‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion

This paper builds on a standard factor model of stock market returns to reconsider recent empirical literature on contagion in financial markets based on bivariate correlation analysis. According to this literature, contagion is defined as a structural break in the linear transmission mechanism of f...

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Bibliographic details
Volume: 24
Main Author: Corsetti, Giancarlo
Pericoli, Marcello
Sbracia, Massimo
Format: Journal Article
Language: English
Zielgruppe: Professional
Academic
Place of publication: OXFORD Elsevier Ltd 2005
ELSEVIER SCI LTD
Elsevier
Elsevier B.V
published in: Journal of international money and finance Vol. 24; no. 8; pp. 1177 - 1199
ORCID: 0000-0001-8965-9853
Data of publication: 2005
ISSN: 0261-5606
1873-0639
EISSN: 1873-0639
Discipline: Business
Series: Journal of International Money and Finance
Subjects:
F30
C10
G10
G15
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2005
Web of Knowledge
Web of Science
RePEc
RePEc IDEAS
CrossRef
Academic OneFile (A&I only)
Database information Databases - DBIS