A Study of Linkages between Frontier Markets and the U.S. Equity Markets Using Multivariate GARCH and Transfer Entropy

Journal article

Open access

Thadavillil Jithendranathan and Mary S Daugherty

Journal of Multinational Financial Management, Vol.32-33, pp.95-115

2015

Abstract

Frontier markets

Transfer entropy

Dynamic conditional correlation

Contagion

Housing market crisis

European debt crisis

Finance and Financial Management

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Title: A Study of Linkages between Frontier Markets and the U.S. Equity Markets Using Multivariate GARCH and Transfer Entropy
Author/Creator: Thadavillil Jithendranathan - University of St. Thomas - Minnesota
Mary S Daugherty - University of St. Thomas - Minnesota
Publication Details: Journal of Multinational Financial Management, Vol.32-33, pp.95-115
Academic Unit: Finance
Language: English
Resource Type: Journal article
Record Identifier: 991015130991503691