Browsing ECO Articles by Author "SBRACIA, Massimo"

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Browsing ECO Articles by Author "SBRACIA, Massimo"

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    Title: 'Some Contagion, some Interdependence': More Pitfalls in Tests of Financial Contagion  Author(s): CORSETTI, Giancarlo; PERICOLI, Marcello; SBRACIA, Massimo Date: 2005 Type of Publication: Article Abstract: This paper builds on a standard factor model of stock market returns to reconsider recent empirical literature on contagion in financial markets based on bivariate correlation analysis. According to this literature, contagion ...