Search Results for: Measuring Financial Contagion A Copula Approach

Measuring Financial Contagion: a Copula Approach

Measuring Financial Contagion: a Copula Approach
Author :
Publisher :
Total Pages : 55
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ISBN-10 : OCLC:66553076
ISBN-13 :
Rating : 4/5 (76 Downloads)
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Book Synopsis Measuring Financial Contagion: a Copula Approach by : Juan Carlos Rodriguez

Download or read book Measuring Financial Contagion: a Copula Approach written by Juan Carlos Rodriguez and published by . This book was released on 2004 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial cris
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This paper proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the co-incidence of extreme return shocks acros
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The National Bureau of Economic Research (NBER) presents the abstract of the September 2000 paper "A New Approach to Measuring Financial Contagion," written by