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Choice of Copulas in Explaining Stock Market Contagion - MaRDI portal

Choice of Copulas in Explaining Stock Market Contagion (Q2950562)

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Choice of Copulas in Explaining Stock Market Contagion
scientific article

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    title
    Choice of Copulas in Explaining Stock Market Contagion (English)
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    author
    Kian-Guan Lim
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    publication date
    9 October 2015
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    Mathematics Subject Classification ID
    91G70
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    62P05
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    62H05
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    91B84
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    zbMATH DE Number
    6492456
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    zbMATH Keywords
    Archimedean copulas
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    stock market contagion
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    conditional tail losses
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    Kullback-Leibler distance
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    OpenAlex ID
    W1567480850
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