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European Equity Market Contagion: An Empirical Application to Ireland’s Sovereign Debt Crisis
Bailouts Contagion DCC GARCH Dynamic correlation Equity markets Financial crises
2016/1/27
This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH...
As interest rates begin to edge upward and rescheduling pushes
the debt burdens of Brazil, Mexico, Argentina, and other large debtor
nations into the future, it is of the utmost importance to rethin...