A Spatial Contagion Test for Financial Markets View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2013

AUTHORS

Fabrizio Durante , Enrico Foscolo , Miroslav Sabo

ABSTRACT

By using some ideas recently introduced by Durante and Jaworski, we present a test for spatial contagion among financial markets. This test is based on a comparison between threshold copulas associated with a given pair of random variables representing two financial markets. Moreover, the described methodology is used in order to check the presence of contagion among European markets in the recent financial crisis. More... »

PAGES

313-320

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-642-33042-1_34

DOI

http://dx.doi.org/10.1007/978-3-642-33042-1_34

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1019847062


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