Assessing stock market dependence and contagion

DOI10.1080/14697688.2013.859390zbMath1402.91900OpenAlexW2089835940MaRDI QIDQ5245917

Mauricio Zevallos, Omar Abbara

Publication date: 16 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.859390

zbMATH Keywords

copulatime-varying parameterspair-copula

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Cites Work

• Pair-copula constructions of multiple dependence
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• An empirical analysis of multivariate copula models

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