Market integration, systemic risk and diagnostic tests in large mixed panels
DOI10.1080/07474938.2021.1889209zbMath1490.62329OpenAlexW3189803368MaRDI QIDQ5861058
Cheng Hsiao, Hao-Hsiang Yang, Cindy Shin-Huei Wang
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2021.1889209
systemic riskcross-sectional dependencediagnostic testsmarket integrationautoregressive (AR) approximationCD and Schott tests
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Financial networks (including contagion, systemic risk, regulation) (91G45)
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