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Transmission of financial crises and contagion : a latent factor approach

Author: Mardi Dungey
Publisher: Oxford ; New York : Oxford University Press, ©2011.
Series: Finance and the economy.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Transmission of financial crises and contagion.
Oxford ; New York : Oxford University Press, ©2011
(DLC) 2009051238
(OCoLC)489720360
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Mardi Dungey
ISBN: 9780199842605 0199842604
OCLC Number: 721900579
Description: 1 online resource (xii, 219 pages) : illustrations.
Contents: Cover; Contents; 1 Introduction; 2 Review of the Empirical Literature; 3 Contagion in Global Bond Markets; 4 Contagion in Global Equity Markets; 5 Are Crises Alike? Comparing Financial Crises; 6 Characterizing Global Risk in Emerging Markets; 7 Conclusions; Bibliography; Index.
Series Title: Finance and the economy.
Responsibility: Mardi Dungey [and others].

Abstract:

Financial crises often transmit across geographical borders and different asset classes. This book provides a generic framework for modeling these transmissions including examples from crises over  Read more...

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Examining the role of contagion during financial crisis is an important and difficult task. This book provides a coherent framework for identification, estimation and testing for the presence of Read more...

 
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