Choice of Copulas in Explaining Stock Market Contagion

DOI10.1007/978-3-642-35443-4_9zbMath1322.91058MaRDI QIDQ2950562

Kian-Guan Lim

Publication date: 9 October 2015

Published in: Uncertainty Analysis in Econometrics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35443-4_9

zbMATH Keywords

Kullback-Leibler distance; Archimedean copulas; conditional tail losses; stock market contagion

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62H05: Characterization and structure theory for multivariate probability distributions; copulas

91B84: Economic time series analysis