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Extremal dependence tests for contagion - MaRDI portal

Extremal dependence tests for contagion (Q5862490)

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scientific article; zbMATH DE number 7486307
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English
Extremal dependence tests for contagion
scientific article; zbMATH DE number 7486307

    Statements

    title
    Extremal dependence tests for contagion (English)
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    author
    Renée Fry-McKibbin
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    Cody Yu-Ling Hsiao
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    publication date
    9 March 2022
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    zbMATH Keywords
    co-skewness
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    co-kurtosis
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    co-volatility
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    contagion testing
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    extremal dependence
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    financial crisis
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    Lagrange multiplier tests
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    Identifiers

    zbMATH DE Number
    7486307
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    OpenAlex ID
    W3121306163
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