An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
This paper examines contagion risk among both current Eurozone Crisis and Asian Crisis in 1997 with daily stock prices during the crisis periods. Three types of financial markets are included to check the risk spillover, which are developed countries (G7 group), emerging countries (BRICs countries)...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
|
| Online Access: | http://eprints.nottingham.ac.uk/27157/ http://eprints.nottingham.ac.uk/27157/1/SONG_GAO-4202651.pdf |