BIVARIATE CONDITIONAL HETEROSCEDASTICITY MODEL WITH DYNAMIC CORRELATIONS FOR TESTING CONTAGION IN BRICS COUNTRIES

This article examines the pure form of financial contagions in the BRICS countries, namely Brazil, Russia, India, China, and South Africa. The pure form refers to the propagations of shocks that are not related to shocks in macroeconomic fundamentals, and are solely the result of irrational phenomen...

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Veröffentlicht in:Academy of Accounting and Financial Studies journal 2021-01, Vol.25, p.1-17
Hauptverfasser: Niyitegeka, Olivier, Tewari, Devi Datt
Format: Artikel
Sprache:eng
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