Sungyong Park

Chung-Ang University

221 Heuksuk-dong

Dongjak-gu

Seoul, 156-756

Korea, Republic of (South Korea)

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Testing for Stock Market Contagion: A Quantile Regression Approach

Tinbergen Institute Discussion Paper 15-040/III
Number of pages: 57 Posted: 27 Mar 2015
Sungyong Park, Wendun Wang and Naijing Huang
Chung-Ang University, Erasmus University Rotterdam (EUR) - Department of Econometrics and Boston College Department of Economics
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Abstract:

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Financial contagion, Quantile regression, One-sided score test