Name
Abstract | ||
|---|---|---|
By using some ideas recently introduced by Durante and Jaworslci, we present a test for spatial contagion among financial markets. This test is based on a comparison between threshold copulas associated with a given pair of random variables representing two financial markets. Moreover, the described methodology is used in order to check the presence of contagion among European markets in the recent financial crisis. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1007/978-3-642-33042-1_34 | SYNERGIES OF SOFT COMPUTING AND STATISTICS FOR INTELLIGENT DATA ANALYSIS |
Keywords | Field | DocType |
Financial crisis,spatial contagion,threshold copulas | Econometrics,Random variable,Computer science,Financial crisis,Copula (linguistics),Statistics,Financial market | Conference |
Volume | ISSN | Citations |
190 | 2194-5357 | 7 |
PageRank | References | Authors |
0.74 | 1 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Fabrizio Durante | 1 | 391 | 59.28 |
| Enrico Foscolo | 2 | 23 | 3.20 |
| Miroslav Sabo | 3 | 19 | 1.67 |