A spatial contagion test for financial markets

DOI10.1007/978-3-642-33042-1_34MaRDI QIDQ2805804zbMATH OpenOpenAlexFDO

Authors Fabrizio Durante, Enrico Foscolo, Miroslav Sabo

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

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)

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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

(15)

• Multi-feature evaluation of financial contagion
• Contagion determination via copula and volatility threshold models
• On spatial contagion and multivariate GARCH models
• Connectedness measures of spatial contagion in the banking and insurance sector
• Test for spatial dominances in the distribution of stock returns: evidence from the Korean stock market before and after the East Asian financial crisis
• Clustering of financial time series in risky scenarios
• Univariate conditioning of vine copulas
• Clustering of time series via non-parametric tail dependence estimation
• Extremal dependence tests for contagion
• A statistical procedure for testing financial contagion
• Spatial contagion between financial markets: new evidence of asymmetric measures
• Joint tests of contagion with applications
• Detecting early warning signals of financial crisis in spatial endogenous credit model using patch-size distribution
• A model-free test for contagion between crude oil and stock markets
• Spatial contagion between financial markets: a copula-based approach

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