Contagion between United States and european markets during the recent crises
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- Amira Akl Ahmed & Rania Ihab Naguib, 2018. "DCCs among Sector Indexes and Dynamic Causality between Foreign Exchange and Equity Sector Volatility: Evidence from Egypt," Applied Economics and Finance, Redfame publishing, vol. 5(1), pages 14-28, January.
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More about this item
Keywords
Contagion; Dynamic Conditional Correlation; Financial Markets; Markov Switching Model; Time Series Factor Analysis; Macroeconomic variables;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2012-01-25 (Corporate Finance)
- NEP-EEC-2012-01-25 (European Economics)
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