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A multicountry measure of comovement and contagion in international markets: definition and applications |
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| Authors: | Tessler Nina Venezia Itzhak |
| Affiliation: | 1.Faculty of Industrial Engineering and Technology Management, Holon Institute of Technology, Holon, Israel ;2.The Hebrew University of Jerusalem, Jerusalem, Israel ;3.The Academic College of Tel Aviv-Yaffo, Tel Aviv, Israel ;5.Pompeu Fabra University, Barcelona, Spain ; |
| Abstract: | Review of Quantitative Finance and Accounting - This paper introduces a new measure of comovement and contagion of crises between countries, applies it to 16 world crises, including the current... |
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