Financial markets in different countries undergo crises at one point in time or another. These crises can have different causes but they could affect other markets due to trade relations and capital mobility. Some crises affect markets in other countries more than what market fundamentals would dictate. We will model this phenomenon, also defined as contagion, using two approaches viz., one-factor model and volatility spillover, and compare these approaches.
| Identifer | oai:union.ndltd.org:NCSU/oai:NCSU:etd-08172004-155243 |
| Date | 17 August 2004 |
| Creators | Rao, Harshavardhana |
| Contributors | Peter Bloomfield, Alastair R. Hall, David A. Dickey, Jason A. Osborne |
| Publisher | NCSU |
| Source Sets | North Carolina State University |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://www.lib.ncsu.edu/theses/available/etd-08172004-155243/ |
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