Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence
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DOI: 10.1016/j.physa.2018.02.073
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- Ausloos, Marcel & Eskandary, Ali & Kaur, Parmjit & Dhesi, Gurjeet, 2019.
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Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 527(C).
- Marcel Ausloos & Ali Eskandary & Parmjit Kaur & Gurjeet Dhesi, 2019. "Evidence for Gross Domestic Product growth time delay dependence over Foreign Direct Investment. A time-lag dependent correlation study," Papers 1905.01617, arXiv.org.
- Chow, Sheung Chi & Vieito, João Paulo & Wong, Wing Keung, 2019.
"Do both demand-following and supply-leading theories hold true in developing countries?,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 536-554.
- Chow, Sheung Chi & Vieito, João Paulo & Wong, Wing-Keung, 2018. "Do both demand-following and supply-leading theories hold true in developing countries?," MPRA Paper 87641, University Library of Munich, Germany.
- Fanelli, Viviana & Maddalena, Lucia, 2020. "A nonlinear dynamic model for credit risk contagion," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 174(C), pages 45-58.
- Livio Fenga, 2020. "Filtering and prediction of noisy and unstable signals: The case of Google Trends data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 281-295, March.
- Lee, Kang-Bok & Han, Sumin & Jeong, Yeasung, 2020. "COVID-19, flattening the curve, and Benford’s law," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
- Bai, Lan & Zhang, Xuhui & Liu, Yuntong & Wang, Qian, 2019. "Economic risk contagion among major economies: New evidence from EPU spillover analysis in time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
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More about this item
Keywords
Econophysics; Financial markets; Abnormal returns; Contagion; Mixed Poisson process;All these keywords.
JEL classification:
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
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