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• W2048163607 abstract "A wavelet-based approach to test whether contagion occurred during the US subprime crisis of 2007 is proposed. After separately identifying contagion and interdependence through wavelet decomposition of the original returns series, the presence of contagion is assessed using a simple graphical test based on non-overlapping confidence intervals of estimated wavelet coefficients in crisis and non-crisis periods. The results indicate that all stock markets have been affected by the US subprime crisis and that Brazil and Japan are the only countries in which contagion is observed at all scales." @default.
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• W2048163607 date "2012-11-01" @default.
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• W2048163607 title "A wavelet-based approach to test for financial market contagion" @default.
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• W2048163607 doi "https://doi.org/10.1016/j.csda.2010.11.003" @default.
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