Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector

DOI10.1007/978-3-319-10765-3_26zbMath1337.91141OpenAlexW1030874MaRDI QIDQ2808120

Piotr Jaworski, Fabrizio Durante, Hao Wang, Enrico Foscolo

Publication date: 26 May 2016

Published in: Strengthening Links Between Data Analysis and Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-10765-3_26

zbMATH Keywords

copulacontagiontail dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• A Spatial Contagion Test for Financial Markets
• Spatial contagion between financial markets: a copula-based approach

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