G01 - Financial Crises - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T04:58:22+00:00Testing for Financial Contagion with Applications to the Canadian Banking System
https://www.bankofcanada.ca/2009/05/working-paper-2009-14/
The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the data.2009-05-03T11:26:49+00:00enTesting for Financial Contagion with Applications to the Canadian Banking System2009-05-03Central bank researchEconometric and statistical methodsFinancial stabilityWorking Paper 2009-14 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-14.pdfTesting for Financial Contagion with Applications to the Canadian Banking SystemFuchun LiMay 2009CC1C12GG0G01G1G15