A Spatial Contagion Test for Financial Markets

DOI10.1007/978-3-642-33042-1_34zbMath1422.91800OpenAlexW97591930MaRDI QIDQ2805804

Enrico Foscolo, Miroslav Sabo, Fabrizio Durante

Publication date: 13 May 2016

Published in: Synergies of Soft Computing and Statistics for Intelligent Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-33042-1_34

zbMATH Keywords

financial crisisspatial contagionthreshold copulas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Actuarial science and mathematical finance (91G99)

Related Items (5)

Clustering of financial time series in risky scenarios ⋮ Clustering of time series via non-parametric tail dependence estimation ⋮ Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector ⋮ Multi-feature evaluation of financial contagion ⋮ Univariate conditioning of vine copulas

Cites Work

• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Spatial contagion between financial markets: a copula-based approach

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