Joint tests of contagion with applications

DOI10.1080/14697688.2018.1475747zbMath1420.91488OpenAlexW2887385901WikidataQ129431489 ScholiaQ129431489MaRDI QIDQ5234306

Renée Fry-McKibbin, Cody Yu-Ling Hsiao, Vance L. Martin

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1475747

zbMATH Keywords

Lagrange multiplier testsequity marketscokurtosiscoskewnesscovolatilityeuropean financial crisis

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

Multi-feature evaluation of financial contagion

Cites Work

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