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

Wajih Khallouli () and René Sandretto ()
Additional contact information
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

Post-Print from HAL

Keywords: Subprime crisis; Contagion; MENA stock markets; Markov switching EGARCH model (search for similar items in EconPapers)
Date: 2010-11-11
References: Add references at CitEc
Citations:

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

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00589830

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().