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Market concentration and the likelihood of financial crises

โœ Scribed by Lucas Bretschger; Vivien Kappel; Therese Werner


Book ID
118117420
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
208 KB
Volume
36
Category
Article
ISSN
0378-4266

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## Abstract An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during periods of financial crises, including spillover and contagion effects, are formally specified. The model als