FIEGARCH-M and and International Crises: A Cross-Country Analysis
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More about this item
Keywords
FIEGARCH-M; international stock market crisis; 1987 stock market crash; dotcom bubble; Asian crisis; 9/11 attack; country-specific crisis;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2008-06-27 (Econometric Time Series)
- NEP-SEA-2008-06-27 (South East Asia)
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