Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas

DOI10.1080/14697688.2015.1033447zbMath1468.91184OpenAlexW1535666616MaRDI QIDQ5001158

Paulo Horta, Luis F. Martins, Sérgio Lagoa

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1033447

zbMATH Keywords

financial contagionstock marketscopula models2008 financial crisiscontagion channels

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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The shifting dependence dynamics between the G7 stock markets

Cites Work

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• Asymmetric extreme interdependence in emerging equity markets
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• Empirical modelling of contagion: a review of methodologies

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