Asset price volatility and financial contagion: analysis using the MS-VAR framework
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DOI: 10.1007/s40822-014-0009-y
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- Gong, Xu & Guan, Keqin & Chen, Liqing & Liu, Tangyong & Fu, Chengbo, 2021. "What drives oil prices? — A Markov switching VAR approach," Resources Policy, Elsevier, vol. 74(C).
- Chen, Jinyu & Zhu, Xuehong & Zhong, Meirui, 2019. "Nonlinear effects of financial factors on fluctuations in nonferrous metals prices: A Markov-switching VAR analysis," Resources Policy, Elsevier, vol. 61(C), pages 489-500.
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More about this item
Keywords
Financial crisis; Financial contagion; Asset pricing; Volatility linkages; G01; G02; G12; G13;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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