Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables

Open Access

Peer-reviewed

Research Article

About the Authors

André L. P. Ribeiro

Contributed equally to this work with: André L. P. Ribeiro, Luiz K. Hotta

Affiliation Banco Itaú-Unibanco, São Paulo SP, Brazil

Luiz K. Hotta

Contributed equally to this work with: André L. P. Ribeiro, Luiz K. Hotta

Affiliation Department of Statistics, University of Campinas, Campinas SP, Brazil

The authors have declared that no competing interests exist.

Conceived and designed the experiments: ALPR LKH. Performed the experiments: ALPR. Analyzed the data: ALPR LKH. Wrote the paper: ALPR LKH.

Instrumental variable analysis
Is the Subject Area "Instrumental variable analysis" applicable to this article?

Thanks for your feedback.
Monte Carlo method
Is the Subject Area "Monte Carlo method" applicable to this article?

Thanks for your feedback.
Mathematical functions
Is the Subject Area "Mathematical functions" applicable to this article?

Thanks for your feedback.
Stock markets
Is the Subject Area "Stock markets" applicable to this article?

Thanks for your feedback.
Covariance
Is the Subject Area "Covariance" applicable to this article?

Thanks for your feedback.
Simulation and modeling
Is the Subject Area "Simulation and modeling" applicable to this article?

Thanks for your feedback.
Microeconomics
Is the Subject Area "Microeconomics" applicable to this article?

Thanks for your feedback.
Test statistics
Is the Subject Area "Test statistics" applicable to this article?

Thanks for your feedback.