Contagion around the October 1987 stock market crash

DOI10.1016/j.ejor.2006.04.046zbMath1153.91811OpenAlexW3123639753WikidataQ59362831 ScholiaQ59362831MaRDI QIDQ2383128

David A. Bessler, Jian Yang

Publication date: 5 October 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.04.046

zbMATH Keywords

directed acyclic graphsstock market crashhistorical decompositioninternational stock markets

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (6)

The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach ⋮ Modeling and forecasting exchange rate volatility in time-frequency domain ⋮ Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ Measuring the subprime crisis contagion: evidence of change point analysis of copula functions ⋮ Time-varying quantile association regression model with applications to financial contagion and VaR ⋮ ‘Slow-burn’ spillover and ‘fast and furious’ contagion: a study of international stock markets

Uses Software

• TETRAD

Cites Work

• Unnamed Item
• Causation, prediction, and search
• Causal modeling alternatives in operations research: overview and application.
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Volatility and Links between National Stock Markets
• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
• Multivariate cointegration analysis of the Finnish-Japanese stock markets
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: Contagion around the October 1987 stock market crash