Téléchargez le livre : Transmission of Financial Crises and Contagion:

Transmission of Financial Crises and Contagion:

A Latent Factor Approach

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Paru le : 2011-01-07

Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framew...
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Description du livre

Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond markets during 1997-1998 across a number of countries, and culminates in a model which encompasses multiple assets across multiple countries through over a decade of crisis events from East Asia in 1997-1998 to the sub prime crisis during 2008. Program code to support implementation of similar models is available.

À propos

Auteur
Mardi Dungey , Renee A. Fry , Brenda Gonzalez-Hermosillo , Vance L. Martin
Éditeur
Oxford University Press
Collection
n.c
Parution
2011-01-07
Pages
n.c
EAN papier
9780199739837
MD: Professor of Economics and Finance, University of Tasmania RF: Research Associate, Centre for Financial Analysis and Policy BGH: Deputy Division Chief of Global Financial Stability, Monetary and Capital Markets Department, International Monetary Fund VM: Professor of Econometrics, University of Melbourne

Caractéristiques détaillées - droits

EAN PDF
9780199842605
Prix
39,11 €
Nombre pages copiables
0
Nombre pages imprimables
0
Taille du fichier
1864 Ko
Ce livre est accessible aux handicaps informations d'accessibilité

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