The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach

DOI10.1016/J.EJOR.2015.08.061MaRDI QIDQ321012zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

directed acyclic graphcopula functionsfinancial contagion2011 stock market crashtransmission channels

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• scientific article; zbMATH DE number 7028962

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1493045 (Why is no real title available?)
• An introduction to copulas. Properties and applications
• Causal diagrams for empirical research
• Causation, prediction, and search
• Contagion around the October 1987 stock market crash
• Copula modeling: An introduction for practitioners
• Identifying independence in bayesian networks
• Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
• Modeling dependence dynamics through copulas with regime switching
• Semiparametric identification and estimation in multi-object, English auctions
• The t Copula and Related Copulas

Cited in

(9)

• Copula theory and probabilistic sensitivity analysis: is there a connection?
• Contagion around the October 1987 stock market crash
• Evolution and Dynamics of the Currency Network
• 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
• Liquidity tail risk and credit default swap spreads
• Strategic fire-sales and price-mediated contagion in the banking system
• Time-varying quantile association regression model with applications to financial contagion and VaR

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Uses Software

• TETRAD

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