Volatility spillovers and contagion during U.S. subprime crisis: Evidence from Asian stock markets

Franck Martin and Mai Lan Nguyen ()
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Mai Lan Nguyen: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Keywords: U.S. subprime crisis; stock markets; DCC-GARCH; VAR-BEKK-GJR-GARCH; interdependence; contagion; Volatility spillovers (search for similar items in EconPapers)
Date: 2011-05-12
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Published in 1st annual conference on the world economic crisis, May 2011, Paris, France

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00603306

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