Spatial contagion between financial markets: new evidence of asymmetric measures

DOI10.1007/s10479-021-04223-9zbMath1494.91143OpenAlexW3198420999MaRDI QIDQ2151669

Zied Ftiti, Wafa Miled, Jean Michel Sahut

Publication date: 5 July 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04223-9

zbMATH Keywords

copulafinancial time seriesasymmetric dependencespatial contagion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial networks (including contagion, systemic risk, regulation) (91G45) Financial markets (91G15)

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