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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Bibliographic Details
Main Author: Mothi, Wahbeeah (author)
Other Authors: Dionísio, Andreia (author), Vieira, Isabel (author), Ferreira, Paulo (author)
Format: article
Language:por
Published: 2020
Subjects:
Contagion
Correlation Coefficient
DCCA
Eurozone debt crisis
Subprime crisis
Frontier markets
Online Access:http://hdl.handle.net/10174/26304
Country:Portugal
Oai:oai:dspace.uevora.pt:10174/26304

Internet

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

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