The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
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Publication:321012
DOI10.1016/J.EJOR.2015.08.061zbMATH Open1346.62105OpenAlexW2208906322MaRDI QIDQ321012FDOQ321012
Authors: Selma Jayech 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.08.061
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- scientific article; zbMATH DE number 7028962
directed acyclic graphcopula functionsfinancial contagion2011 stock market crashtransmission channels
Cites Work
- Causation, prediction, and search
- An introduction to copulas. Properties and applications
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- The t Copula and Related Copulas
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- Identifying independence in bayesian networks
- Copula modeling: An introduction for practitioners
- Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
- Causal diagrams for empirical research
- Semiparametric identification and estimation in multi-object, English auctions
- Contagion around the October 1987 stock market crash
- Modeling dependence dynamics through copulas with regime switching
Cited In (9)
- Evolution and Dynamics of the Currency Network
- Liquidity tail risk and credit default swap spreads
- Time-varying quantile association regression model with applications to financial contagion and VaR
- Copula theory and probabilistic sensitivity analysis: is there a connection?
- Strategic fire-sales and price-mediated contagion in the banking system
- A nonlinear dynamic model for credit risk contagion
- Spatial contagion between financial markets: new evidence of asymmetric measures
- Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
- Contagion around the October 1987 stock market crash
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