A wavelet-based approach to test for financial market contagion

DOI10.1016/j.csda.2010.11.003zbMath1254.91657OpenAlexW2048163607MaRDI QIDQ1927129

Marco Gallegati

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.11.003

zbMATH Keywords

wavelet decompositioninterdependencecontagionwavelet correlation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (16)

A wavelet based approach to measure and manage contagion at different time scales ⋮ Interest rate spreads and output: a time scale decomposition analysis using wavelets ⋮ Transmission of the Greek crisis on the sovereign debt markets in the euro area ⋮ The process of transferring negative impulses in capital markets – a wavelet analysis ⋮ Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment ⋮ Analysis of shares frequency components on daily value-at-risk in emerging and developed markets ⋮ Contagion and global financial crises: lessons from nine crisis episodes ⋮ Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets ⋮ Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ Guarantee network model and risk contagion ⋮ Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods ⋮ Joint tests of contagion with applications ⋮ Gold price dynamics and the role of uncertainty ⋮ The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach ⋮ Measuring contagion of subprime crisis based on MVMQ-CAViaR method ⋮ Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas

Uses Software

• R
• wmtsa

Cites Work

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• Volatility spillovers, interdependence and comovements: a Markov switching approach
• Scaling properties of foreign exchange volatility
• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
• Ten Lectures on Wavelets
• On estimation of the wavelet variance

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