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Detecting shift-contagion in currency and bond markets

✍ Scribed by Toni Gravelle; Maral Kichian; James Morley


Book ID
116659422
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
231 KB
Volume
68
Category
Article
ISSN
0022-1996

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## Abstract This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICA