Обложка The Financial Crisis: Concept and Transmission Channels
Название книги:

The Financial Crisis: Concept and Transmission Channels

Financial Contagion Modeling: DCC-MVGARCH Approach

Our Knowledge Publishing (2021-06-04 )

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ISBN-13:

978-620-3-76392-8

ISBN-10:
6203763926
EAN:
9786203763928
Язык Книги:
Английский
Краткое описание:
Determining the contagion of the financial crisis is a delicate issue. The financial crisis still seems to be an important phenomenon, marked by its magnitude and international spread that does not distinguish between developed and developing countries. There is no clear consensus among researchers on the appropriate methodology to use to test for contagion. Multiple approaches that can be considered quite robust have been proposed for the determination of volatility transmission. Indeed the determination of volatility is considered to be a difficult problem that has not been solved in a satisfactory manner. We try to determine the channels of crisis transmission, for this we use the DCC-MVGARCH models to arrive at an estimate of the volatility that evolves over time with a reasonable number of parameters. The latter allows us to determine the existence of a co-movement between stock market indices.
Издательский Дом:
Our Knowledge Publishing
Веб-сайт:
https://sciencia-scripts.com
By (author) :
Samia Ben Messaoud
Количество страниц:
52
Опубликовано:
2021-06-04
Акции:
В наличии
Категория:
Экономика
Цена:
39.90 €
Ключевые слова:
the financial crisis, The Contagion

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