Financial contagion analysis in frontier markets: Evidence from the US subprime and the Eurozone debt crises

This study assesses the effects of the US financial and the Eurozone debt crises on a large set of frontier stock markets. Detrended Cross Correlation Analysis (DCCA) and Detrended Moving Cross Correlation Analysis (DMCA) are employed to investigate whether correlations between the crises-originatin...

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Detalhes bibliográficos
Autor principal: Mothi, Wahbeeah (author)
Outros Autores: Dionísio, Andreia (author), Vieira, Isabel (author), Ferreira, Paulo (author)
Formato: article
Idioma:por
Publicado em: 2020
Assuntos:
Contagion
Correlation Coefficient
DCCA
Eurozone debt crisis
Subprime crisis
Frontier markets
Texto completo:http://hdl.handle.net/10174/26304
País:Portugal
Oai:oai:dspace.uevora.pt:10174/26304

Texto Completo

http://hdl.handle.net/10174/26304

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