15-040/III - Testing for Stock Market Contagion: A Quantile Regression Approach

  • Authors
    Sungyong Park, Chung-Ang University, Seoul, Korea; Wendun Wang, Erasmus University Rotterdam, the Netherlands; Naijing Huang, Boston College, United States
  • Publication date
    March 26, 2015
  • Keywords
    Financial contagion, Quantile regression, One-sided score test
  • JEL
    C21, C58, D53
Download here