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Cobreaking of Stock Prices and Contagion. (2008). Antell, Jan ; Ahlgren, Niklas.
In: Working Papers.
RePEc:hhb:hanken:0537.

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  2. Ahlgren, N. and Antell, J. (2008): Bootstrap Tests of Cointegration Rank with Financial Time Series. Forthcoming in Computational Statistics & Data Analysis.

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  5. Corsetti, G., Pericoli, M. and Sbracia, M. (2005): `Some Contagion, Some Interdependence : More Pitfalls in Tests of Financial Contagion. Journal of International Money and Finance, 24, 1177-1199.

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  8. Forbes, K. J. and Rigobon, R. (2002): No Contagion, Only Interdependence: Measuring Stock Market Comovements. Journal of Finance, 57, 2223-2261.

  9. Hendry, D. F. (1995): Dynamic Econometrics. Oxford: Oxford University Press.
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  10. Hendry, D. F. and Massmann, M. (2007): Co-Breaking: Recent Advances and a Synopsis of the Literature. Journal of Business & Economic Statistics, 25, 33-51.

  11. Johansen, 5. (1996): Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press.
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  12. Kaminsky, G. L., Reinhart, K. M. & Vegh, C.A. (2003): The Unholy Trinity of Financial Contagion . Journal of Economic Perspectives, 17, 51-74.

  13. Krolzig, H.-M. and Toro, J. (2002): Testing for Super-Exogeneity in the Presence of Common Deterministic Shifts. Annales dEconomie et de Statistique, 67-68, 41-71.

  14. Pericoli, M. and Sbracia, M. (2003): A Primer on Financial Contagion. Journal of Economic Surveys, 17, 571-608.

  15. Perron, P. (1989): The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis . Econometrica, 57, 1361-1401.

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