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Testing For Contagion
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Book Synopsis Testing for Contagion - Mean and Volatility Contagion by : Dirk G. Baur
Download or read book Testing for Contagion - Mean and Volatility Contagion written by Dirk G. Baur and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Contagion tests that are based on the correlation coefficient assume constant correlations and symmetric impacts of shocks. Moreover, they neglect volatility as a potential factor of contagion. We show that such tests can be misleading when correlations are time-varying and volatility is contagious per se. We propose a new test that is based on a regression model that eliminates the shortcomings of these tests and differentiates between mean contagion and volatility contagion in an asymmetric way. Empirical results for 11 Asian stock markets show that there is mean and volatility contagion in the Asian crisis.
Book Synopsis Testing for Contagion Using Correlations by : Mardi Dungey
Download or read book Testing for Contagion Using Correlations written by Mardi Dungey and published by . This book was released on 2001 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Contagion by : Guglielmo Maria Caporale
Download or read book Testing for Contagion written by Guglielmo Maria Caporale and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Contagion Using Correlations by : Mardi Dungey
Download or read book Testing for Contagion Using Correlations written by Mardi Dungey and published by . This book was released on 2001 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Contagion Between Emerging and Developed Markets During Financial Crises by : Howard Foster
Download or read book Testing for Contagion Between Emerging and Developed Markets During Financial Crises written by Howard Foster and published by . This book was released on 2008 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Financial Contagion by : Lei Ming Chrismin Tang
Download or read book Testing for Financial Contagion written by Lei Ming Chrismin Tang and published by . This book was released on 2007 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Galileo Unbound written by David D. Nolte and published by Oxford University Press. This book was released on 2018-07-12 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Galileo Unbound traces the journey that brought us from Galileo's law of free fall to today's geneticists measuring evolutionary drift, entangled quantum particles moving among many worlds, and our lives as trajectories traversing a health space with thousands of dimensions. Remarkably, common themes persist that predict the evolution of species as readily as the orbits of planets or the collapse of stars into black holes. This book tells the history of spaces of expanding dimension and increasing abstraction and how they continue today to give new insight into the physics of complex systems. Galileo published the first modern law of motion, the Law of Fall, that was ideal and simple, laying the foundation upon which Newton built the first theory of dynamics. Early in the twentieth century, geometry became the cause of motion rather than the result when Einstein envisioned the fabric of space-time warped by mass and energy, forcing light rays to bend past the Sun. Possibly more radical was Feynman's dilemma of quantum particles taking all paths at once — setting the stage for the modern fields of quantum field theory and quantum computing. Yet as concepts of motion have evolved, one thing has remained constant, the need to track ever more complex changes and to capture their essence, to find patterns in the chaos as we try to predict and control our world.
Book Synopsis Testing for Stock Market Contagion by : Sungyong Park
Download or read book Testing for Stock Market Contagion written by Sungyong Park and published by . This book was released on 2015 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of simulation studies show that the proposed test is superior to the correlation-based tests in terms of size and power. We compare our test with correlation-based tests using three real data sets: the 1994 Tequila crisis, the 1997 Asia crisis, and the 2001 Argentina crisis. Empirical results show substantial differences between two types of tests.
Book Synopsis Testing Peer Contagion in Youth Mental Health Services by : Bethany Renee Lee
Download or read book Testing Peer Contagion in Youth Mental Health Services written by Bethany Renee Lee and published by . This book was released on 2007 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Joint Tests of Contagion with Applications to Financial Crises by : Renee Fry-McKibbin
Download or read book Joint Tests of Contagion with Applications to Financial Crises written by Renee Fry-McKibbin and published by . This book was released on 2017 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel. Applying the tests to daily Eurozone equity returns from 2005 to 2014 shows that contagion operates through higher order moment channels during the GFC and the European debt crisis, which are not necessarily detected by traditional tests based on correlations.
Book Synopsis Testing for Contagion by : Guglielmo Maria Caporale
Download or read book Testing for Contagion written by Guglielmo Maria Caporale and published by . This book was released on 2004 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Financial Contagion by : Stijn Claessens
Download or read book International Financial Contagion written by Stijn Claessens and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
Book Synopsis Some Contagion, Some Interdependence by : Giancarlo Corsetti
Download or read book Some Contagion, Some Interdependence written by Giancarlo Corsetti and published by . This book was released on 2002 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Rules of Contagion by : Adam Kucharski
Download or read book The Rules of Contagion written by Adam Kucharski and published by Profile Books. This book was released on 2020-02-13 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Observer Book of the Year A Times Science Book of the Year A New Statesman Book of the Year A Financial Times Science Book of the Year 'Astonishingly bold' Daily Mail 'It is hard to imagine a more timely book ... much of the modern world will make more sense having read it.' The Times We live in a world that's more interconnected than ever before. Our lives are shaped by outbreaks - of disease, of misinformation, even of violence - that appear, spread and fade away with bewildering speed. To understand them, we need to learn the hidden laws that govern them. From 'superspreaders' who might spark a pandemic or bring down a financial system to the social dynamics that make loneliness catch on, The Rules of Contagion offers compelling insights into human behaviour and explains how we can get better at predicting what happens next. Along the way, Adam Kucharski explores how innovations spread through friendship networks, what links computer viruses with folk stories - and why the most useful predictions aren't necessarily the ones that come true. Now revised and updated with content on Covid-19.
Book Synopsis Testing for Contagion in International Financial Markets by : Sébastien Wälti
Download or read book Testing for Contagion in International Financial Markets written by Sébastien Wälti and published by . This book was released on 2003 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests for the existence of contagion during the 1997/98 Asian crisis. We interpret contagion as a significant change in the way that country-specific shocks are transmitted across international stock markets. Using the full-information framework of Favero and Giavazzi (2002) we find that the null hypothesis of no contagion is widely rejected. We also uncover evidence of an asymmetric transmission of shocks. Since our results contrast with those obtained by Rigobon (2001, 2002) using a limited-information methodology we present Monte Carlo simulations which show that certain necessary conditions must be satisfied for this method to have power. For parameter values in line with our econometric estimations we conclude that the power of the limited-information approach remains relatively low.
Book Synopsis Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios by : Scott M. R. Mahadeo
Download or read book Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios written by Scott M. R. Mahadeo and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent volatility; (2) Bull versus bear market phases; (3) Normal periods versus asset bubbles and crises. We analyse the relationship between the S&P 500 and major emerging Caribbean stock markets and find that, despite the prominent trade related exposure to the US, financial linkages are much less pronounced than might be expected outside of the Great Recession.
Book Synopsis Testing for Financial Contagion with Applications to the Canadian Banking System by : Fuchun Li
Download or read book Testing for Financial Contagion with Applications to the Canadian Banking System written by Fuchun Li and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
