Paper Info
Title
An Analysis Of The Dependence Among Financial Markets By Spatial Contagion
Abstract
Spatial contagion between two financial markets X and Y appears when there is more dependence between X and Y when they are doing badly than when they exhibit typical performance. In this paper, we introduce an index to measure the contagion effects. This tool is based on the use of suitable copulas associated with the markets and on the calculation of the related conditional Spearman's correlation coefficients. As an empirical application, the proposed index is used to create a clustering of European stock market indices to assess their behavior in the recent years. The whole procedure is expected to be useful for portfolio diversification in crisis periods.
Year
DOI
Venue
2013
10.1002/int.21578
INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS
Field
DocType
Volume
Econometrics,Data mining,Actuarial science,Diversification (finance),Stock market index,Copula (linguistics),Cluster analysis,Financial market,Mathematics
Journal
28
Issue
ISSN
Citations 
4
0884-8173
9
PageRank 
References 
Authors
0.74
5
2
Name
Order
Citations
PageRank
Fabrizio Durante139159.28
Enrico Foscolo2233.20