The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach

DOI10.1016/j.ejor.2015.08.061zbMath1346.62105OpenAlexW2208906322MaRDI QIDQ321012

Selma Jayech

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.08.061

zbMATH Keywords

directed acyclic graphcopula functionsfinancial contagion2011 stock market crashtransmission channels

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

Spatial contagion between financial markets: new evidence of asymmetric measures ⋮ Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ A nonlinear dynamic model for credit risk contagion ⋮ Copula theory and probabilistic sensitivity analysis: is there a connection? ⋮ Liquidity tail risk and credit default swap spreads ⋮ Time-varying quantile association regression model with applications to financial contagion and VaR ⋮ Strategic fire-sales and price-mediated contagion in the banking system ⋮ Evolution and Dynamics of the Currency Network

Uses Software

• TETRAD

Cites Work

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• Contagion around the October 1987 stock market crash
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• Identifying independence in bayesian networks

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