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Keywords: MSBVAR
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Journal Articles
Journal:
Journal of Economic Studies
Journal of Economic Studies (2021) 48 (8): 1548–1572.
Published: 17 December 2020
...-Switching Bayesian Vector AutoRegression (MSBVAR) model. Findings The authors find evidence in support of the existence of financial contagion (defined as an increase in correlation during a crisis period) for all frequencies of data analysed. This contagion is greatest when examining lower-frequency...
