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A Dynamic Factor Analysis of Financial Contagion in Asia [PDF]

open access: green, 2003
Andrea Cipollini, George Kapetanios
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Channels of financial contagion

open access: yes, 2004
The current contagion literature does not definitely conclude which channels of financial contagion are the most significant in transmitting crises between countries. This paper sets out to fill this gap empirically by determining which contagion channels significantly increase the probability of an incidence of contagion between stock markets.
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