Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model (English)
- New search for: Goel, Anubha
- New search for: Mehra, Aparna
- New search for: Goel, Anubha
- New search for: Mehra, Aparna
In:
Computational Economics
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53
, 3
; 921-950
;
2017
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ISSN:
- Article (Journal) / Print
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Title:Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model
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Contributors:Goel, Anubha ( author ) / Mehra, Aparna ( author )
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Published in:Computational Economics ; 53, 3 ; 921-950
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Publisher:
- New search for: Springer US
- New search for: Springer
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Place of publication:Dordrecht [u.a.]
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Publication date:2017
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ISSN:
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ZDBID:
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DOI:
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Type of media:Article (Journal)
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Type of material:Print
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Language:English
- New search for: 85.03 / 54.10 / 31.80
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Keywords:
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Source:
Table of contents – Volume 53, Issue 3
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 901
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Indexing of Technical Change in Aggregated DataKvamsdal, Sturla Furunes et al. | 2017
- 921
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Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine ModelGoel, Anubha / Mehra, Aparna et al. | 2017
- 951
-
Evolutionary Dynamics of Price Dispersion with Market-Dependent CostsÁlvarez, Francisco / Rey, José-Manuel / Sanchis, Raúl G. et al. | 2017
- 977
-
Exact Expectations: Efficient Calculation of DSGE ModelsGoessling, Fabian et al. | 2017
- 991
-
Finite Gaussian Mixture Approximations to Analytically Intractable Density KernelsKhorunzhina, Natalia / Richard, Jean-François et al. | 2017
- 1019
-
Dissimilarity-Based Linear Models for Corporate Bankruptcy PredictionGarcía, Vicente / Marqués, Ana I. / Sánchez, J. Salvador / Ochoa-Domínguez, Humberto J. et al. | 2017
- 1033
-
Quantile Regression for Dynamic Panel Data Using Hausman–Taylor Instrumental VariablesTao, Li / Zhang, Yuanjie / Tian, Maozai et al. | 2017
- 1071
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Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks: A Case from an Emerging MarketDastkhan, Hossein / Gharneh, Naser Shams et al. | 2017
- 1111
-
A Nonlinear Optimal Control Approach to Stabilization of Business Cycles of Finance AgentsRigatos, G. / Siano, P. / Ghosh, T. et al. | 2017
- 1133
-
Optimal Stop-Loss Reinsurance Under the VaR and CTE Risk Measures: Variable Transformation MethodDu, Junhong / Li, Zhiming / Wu, Lijun et al. | 2017
- 1153
-
Bayesian Testing for Leverage Effect in Stochastic Volatility ModelsZhang, Jin-Yu / Chen, Zhong-Tian / Li, Yong et al. | 2018
- 1165
-
A Practical Approach to Testing Calibration StrategiesCao, Yongquan / Gordon, Grey et al. | 2018
- 1183
-
Systematic Sensitivity Analysis of the Full Economic Impacts of Sea Level RiseChatzivasileiadis, T. / Estrada, F. / Hofkes, M. W. / Tol, R. S. J. et al. | 2018
- 1219
-
A New Prediction Model Based on Cascade NN for Wind Power PredictionTorabi, Amirhosein / Mousavy, Sayyed Ali Kiaian / Dashti, Vahideh / Saeedi, Mohammadhossein / Yousefi, Nasser et al. | 2018
- 1245
-
Surrogate Modelling in (and of) Agent-Based Models: A Prospectusvan der Hoog, Sander et al. | 2018
- 1265
-
Pricing Perpetual American Lookback Options Under Stochastic VolatilityLee, Min-Ku et al. | 2018
- 1279
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Quanto Option Pricing with Lévy ModelsFallahgoul, Hasan A. / Kim, Young S. / Fabozzi, Frank J. / Park, Jiho et al. | 2018