Blar i NHH Brage på forfatter "Hufthammer, Karl Ove"
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Measuring financial contagion by local Gaussian correlation
Støve, Bård; Tjøstheim, Dag; Hufthammer, Karl Ove (Discussion paper, Working paper, 2010-09)This paper examines financial contagion, that is, whether the cross-market linkages in financial markets increases after a shock to a country. We introduce the use of a new measure of local dependence (introduced by ...