Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios
(2019)
Journal Article
We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete condit... Read More about Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios.