Browsing 14 Economics by Author "Baur Dirk"

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Browsing 14 Economics by Author "Baur Dirk"

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  • Financial contagion and the real economy 
    Baur Dirk (Elsevier Inc, 2012)
    This paper studies the spread of the Global Financial Crisis of 2007-2009 from the financial sector to the real economy by examining ten sectors in 25 major developed and emerging stock markets. The analysis tests different ...
  • Multivariate contagion and interdependence 
    Baur Dirk; Fry Renee (Elsevier BV, 2009)
    This paper proposes a multivariate test to measure the statistical and economic significance of contagion through analysis of extreme unobserved common shocks. Contagious episodes are endogenously determined with no need, ...
  • Stock return autocorrelations revisited: A quantile regression approach 
    Baur Dirk; Dimpfl T; Jung R (Elsevier, 2012)
    The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables ...