Diagnosing the Source of Financial Market Shocks: An Application to the Asian, Subprime and European Financial Crises

Keyphrases

• Subprime Crisis 100%
• Asian Financial Crisis 100%
• Market Shocks 100%
• European Financial Crisis 100%
• Idiosyncratic Shocks 66%
• Shock Wave Propagation 66%
• European Crisis 66%
• Correlation Coefficient 33%
• Shock 33%
• Cyprus 33%
• Test Statistic 33%
• Heteroscedasticity 33%
• Stock Market Volatility 33%
• Tractability 33%
• Endogeneity 33%
• Greece 33%
• Power Characteristics 33%
• Source Country 33%
• Omitted Variables 33%
• Crisis Shocks 33%
• Latvia 33%
• Test Diagnostics 33%
• Financial Shocks 33%
• Conditional Correlation 33%
• Size Characteristics 33%
• Market Interdependence 33%

Economics, Econometrics and Finance

• Correlation Coefficient 50%