Contagion in Financial Markets: Two Statistical Approaches

Factor GARCH;one-factor model multivariate GARCH;contagion

Rao, Harshavardhana ; Peter Bloomfield, Committee Chair,Alastair R. Hall, Committee Member,David A. Dickey, Committee Member,Jason A. Osborne, Committee Member,Rao, Harshavardhana ; Peter Bloomfield ; Committee Chair ; Alastair R. Hall ; Committee Member ; David A. Dickey ; Committee Member ; Jason A. Osborne ; Committee Member

University:North Carolina State University

关键词: Factor GARCH;    one-factor model multivariate GARCH;    contagion;   

Others  :  https://repository.lib.ncsu.edu/bitstream/handle/1840.16/5003/etd.pdf?sequence=2&isAllowed=y

美国|英语

来源: null

【 摘 要 】

Financial markets in different countries undergo crises at one point in time or another. These crises can have different causes but they could affect other markets due to trade relations and capital mobility. Some crises affect markets in other countries more than what market fundamentals would dictate. We will model this phenomenon, also defined as contagion, using two approaches viz., one-factor model and volatility spillover, and compare these approaches.