Tranquil and crisis windows, heteroscedasticity, and contagion measurement: MS-VAR application of the DCC procedure

Pontines, Victor; Siregar, Reza

doi:10.1080/09603100802167239

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Tranquil and crisis windows, heteroscedasticity, and contagion measurement: MS-VAR application of the DCC procedure

Shared by NobleBlocks on Mar 30, 2009 • 12:00 AM UTC

Authors:

Victor Pontines

Reza Siregar

Abstract

The key objective of this study is to show that two potential shortcomings of the Determinant of Change in Covariance (DCC) matrix procedure of Rigobon (2003 Rigobon, R. 2003. On the measurement of the international propagation of shocks: is the transmission stable?. Journal of International Economi...

Subject

Heteroscedasticity

Financial crisis

Economics

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