Title

A Study of Linkages between Frontier Markets and the U.S. Equity Markets Using Multivariate GARCH and Transfer Entropy

Department/School

Finance

Date of this version

2015

Document Type

Article

Keywords

Frontier markets, Transfer entropy, Dynamic conditional correlation, Contagion, Housing market crisis, European debt crisis

Published in

Journal of Multinational Financial Management

Citation/Other Information

32-33, 95-115