Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
DOI10.1007/S10436-011-0181-YzbMATH Open1298.91206OpenAlexW2087284513MaRDI QIDQ470423FDOQ470423
Authors: Yue Peng, Wing Lon Ng 
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-011-0181-y
Recommendations
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91G99)
Cites Work
- Goodness-of-fit tests for copulas: A review and a power study
- An introduction to copulas. Properties and applications
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Residual‐based diagnostics for conditional heteroscedasticity models
- Autoregressive Conditional Density Estimation
- Regime switching for dynamic correlations
- Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
- Estimating the tail-dependence coefficient: properties and pitfalls
- Informational asymmetries and a multiplier effect on price correlation and trading
- Amplification and asymmetry in crashes and frenzies
Cited In (12)
- Choice of Copulas in Explaining Stock Market Contagion
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model
- Volatility contagion: a range-based volatility approach
- On the dependence structure between S\&P500, VIX and implicit interexpectile differences
- Spatial contagion between financial markets: new evidence of asymmetric measures
- The Brexit impact on European market co-movements
- The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
- The tail dependograph
- Time-frequency information transmission among financial markets: evidence from implied volatility
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
- Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices
This page was built for publication: Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470423)
