Extremal dependence tests for contagion

DOI10.1080/07474938.2015.1122270MaRDI QIDQ5862490zbMATH OpenOpenAlexFDO

Authors Renée Fry-McKibbin, Cody Yu-Ling Hsiao

Publication date 9 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2015-11/40_2015_fry-mckibbin_hsiao.pdf

zbMATH Keywords

co-kurtosisco-skewnessco-volatilitycontagion testingextremal dependencefinancial crisisLagrange multiplier tests

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Joint tests of contagion with applications
• A new class of tests of contagion with applications
• A spatial contagion test for financial markets
• Contagion and global financial crises: lessons from nine crisis episodes
• A wavelet-based approach to test for financial market contagion

Cites work

• A new class of tests of contagion with applications
• Econometric issues in the analysis of contagion
• Estimation and Moment Recursion Relations for Multimodal Distributions of the Exponential Family

Cited in

(17)

• A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
• A wavelet-based approach to test for financial market contagion
• Multi-feature evaluation of financial contagion
• Local Gaussian correlations in financial and commodity markets
• Contagion and global financial crises: lessons from nine crisis episodes
• A regime switching skew-normal model of contagion
• A spatial contagion test for financial markets
• Granger causality in risk and detection of extreme risk spillover between financial markets
• A structural break test for extremal dependence in -mixing random vectors
• Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
• A model-free test for contagion between crude oil and stock markets
• A statistical procedure for testing financial contagion
• Joint tests of contagion with applications
• A new class of tests of contagion with applications
• Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
• A contagion test with unspecified heteroscedastic errors
• ``Made in USA financial contagion on ESG indexes: analysis of higher order moments during the pandemic

This page was built for publication: Extremal dependence tests for contagion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5862490)