C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T07:37:27+00:00Shift Contagion in Asset Markets
https://www.bankofcanada.ca/2003/02/working-paper-2003-5/
The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movement between markets during high-variance episodes are considered: larger common shocks operating through standard market linkages, and a structural change in the propagation of shocks between markets, called "shift contagion."2003-02-01T17:07:27+00:00enShift Contagion in Asset Markets2003-02-01Econometric and statistical methodsFinancial marketsWorking Paper 2003-5 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-5.pdfShift Contagion in Asset MarketsToni GravelleMaral KichianJames MorleyFebruary 2003CC3C32FF4F42GG1G15