An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model

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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)...

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Bibliographic Details
Main Author:	Gao, Song
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2014
Subjects:	Contagion Risk; E-GARCH Modelling; Value-at-Risk (VaR); Backtesting; Granger Causality in Risk
Online Access:	https://eprints.nottingham.ac.uk/27157/

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