Extreme contagion in equity markets /
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| Author / Creator: | Chan-Lau, Jorge A. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2002. |
| Description: | 1 online resource (23 pages). |
| Language: | English |
| Series: | IMF working paper ; WP/02/98 IMF working paper ; WP/02/98. |
| Subject: | Stocks -- Econometric models. Rate of return -- Econometric models. Financial crises -- Econometric models. Taux de rendement -- Modèles économétriques. Financial crises -- Econometric models. Rate of return -- Econometric models. Stocks -- Econometric models. Electronic books. |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12496429 |
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| 100 | 1 | |a Chan-Lau, Jorge A. |0 http://id.loc.gov/authorities/names/no98112304 | |
| 245 | 1 | 0 | |a Extreme contagion in equity markets / |c Jorge A. Chan-Lau, Donald J. Mathieson, and James Y. Yao. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2002. | ||
| 300 | |a 1 online resource (23 pages). | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/02/98 | |
| 504 | |a Includes bibliographical references (page 23). | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [S.l.] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 588 | 0 | |a Print version record. | |
| 520 | |a This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion. | ||
| 650 | 0 | |a Stocks |x Econometric models. | |
| 650 | 0 | |a Rate of return |x Econometric models. | |
| 650 | 0 | |a Financial crises |x Econometric models. | |
| 650 | 6 | |a Taux de rendement |x Modèles économétriques. | |
| 650 | 7 | |a Financial crises |x Econometric models. |2 fast |0 (OCoLC)fst00924608 | |
| 650 | 7 | |a Rate of return |x Econometric models. |2 fast |0 (OCoLC)fst01090237 | |
| 650 | 7 | |a Stocks |x Econometric models. |2 fast |0 (OCoLC)fst01133714 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Mathieson, Donald J. |0 http://id.loc.gov/authorities/names/n81143776 | |
| 700 | 1 | |a Yao, James Y. | |
| 710 | 2 | |a International Monetary Fund. |b International Capital Markets Department. |0 http://id.loc.gov/authorities/names/no2001075981 | |
| 776 | 0 | 8 | |i Print version: |a Chan-Lau, Jorge A. |t Extreme contagion in equity markets. |d [Washington, D.C.] : International Monetary Fund, ©2002 |w (OCoLC)50254122 |
| 830 | 0 | |a IMF working paper ; |v WP/02/98. |0 http://id.loc.gov/authorities/names/no89010263 | |
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| 928 | |t Library of Congress classification |a HG3881.5.I58 W67 no.02/98 |l Online |c UC-FullText |u http://elibrary.imf.org/view/IMF001/02280-9781451852158/02280-9781451852158/02280-9781451852158.xml |z International Monetary Fund |g ebooks |i 12140453 | ||