A spatial contagion test for financial markets

DOI10.1007/978-3-642-33042-1_34zbMATH Open1422.91800OpenAlexW97591930MaRDI QIDQ2805804FDOQ2805804

Enrico Foscolo, Miroslav Sabo, Fabrizio Durante

Publication date: 13 May 2016

Published in: Synergies of Soft Computing and Statistics for Intelligent Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-33042-1_34

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zbMATH Keywords

financial crisisspatial contagionthreshold copulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Spatial contagion between financial markets: a copula-based approach

Cited In (9)

• Multi-feature evaluation of financial contagion
• On spatial contagion and multivariate GARCH models
• Clustering of financial time series in risky scenarios
• Univariate conditioning of vine copulas
• Clustering of time series via non-parametric tail dependence estimation
• A statistical procedure for testing financial contagion
• Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector
• Detecting early warning signals of financial crisis in spatial endogenous credit model using patch-size distribution
• Spatial contagion between financial markets: a copula-based approach

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