Testing for "contagion" of the subprime crisis on the Middle East and North African stock markets: A Markov Switching EGARCH approach

Wajih Khallouli (wajih.khallouli@gmail.com) and René Sandretto (sandretto@gate.cnrs.fr)
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René Sandretto: GATE Lyon Saint-Étienne - Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - UL2 - Université Lumière - Lyon 2 - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique

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Keywords: Subprime crisis; Contagion; MENA stock markets; Markov switching EGARCH model (search for similar items in EconPapers)
Date: 2010-11-11
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Published in Commerce, croissance et devenir de l'intégration en Méditerranée. Colloque OMC/Nations Unies (UNECA)/Lyon 2/ Université Mohammed V Souissi, Rabat, 11-13 novembre 2010, Nov 2010, Rabat, Morocco

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Related works:
Journal Article: Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach (2012)
Working Paper: Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets: A Markov Switching EGARCH approach (2012)
Working Paper: Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets: A Markov Switching EGARCH approach (2010)
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