The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
From MaRDI portal
Publication:321012
DOI10.1016/j.ejor.2015.08.061zbMath1346.62105OpenAlexW2208906322MaRDI QIDQ321012
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
directed acyclic graphcopula functionsfinancial contagion2011 stock market crashtransmission channels
Related Items (8)
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 ⋮ A nonlinear dynamic model for credit risk contagion ⋮ Copula theory and probabilistic sensitivity analysis: is there a connection? ⋮ Liquidity tail risk and credit default swap spreads ⋮ Time-varying quantile association regression model with applications to financial contagion and VaR ⋮ Strategic fire-sales and price-mediated contagion in the banking system ⋮ Evolution and Dynamics of the Currency Network
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Semiparametric identification and estimation in multi-object, English auctions
- Modeling dependence dynamics through copulas with regime switching
- Causation, prediction, and search
- An introduction to copulas. Properties and applications
- Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
- Contagion around the October 1987 stock market crash
- Copula Modeling: An Introduction for Practitioners
- The t Copula and Related Copulas
- Causal diagrams for empirical research
- Identifying independence in bayesian networks
This page was built for publication: The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach