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Spatial contagion between financial markets: a copula‐based approach

Spatial contagion between financial markets: a copula‐based approach A method is proposed for defining and investigating spatial contagion between two financial markets X and Y by using the information contained in their copula. A practical illustration of the introduced method is also given by examining the presence of contagion among two European stock indices (namely, FTSE 100 and DAX). Copyright © 2009 John Wiley & Sons, Ltd. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Stochastic Models in Business and Industry Wiley

Spatial contagion between financial markets: a copula‐based approach

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Publisher
Wiley
Copyright
Copyright © 2009 John Wiley & Sons, Ltd.
ISSN
1524-1904
eISSN
1526-4025
DOI
10.1002/asmb.799
Publisher site
See Article on Publisher Site

Abstract

A method is proposed for defining and investigating spatial contagion between two financial markets X and Y by using the information contained in their copula. A practical illustration of the introduced method is also given by examining the presence of contagion among two European stock indices (namely, FTSE 100 and DAX). Copyright © 2009 John Wiley & Sons, Ltd.

Journal

Applied Stochastic Models in Business and IndustryWiley

Published: Sep 1, 2010

References