Extremal dependence tests for contagion

DOI10.1080/07474938.2015.1122270zbMath1490.62317OpenAlexW3121306163MaRDI QIDQ5862490

Renée Fry-McKibbin, Cody Yu-Ling Hsiao

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2015-11/40_2015_fry-mckibbin_hsiao.pdf

zbMATH Keywords

financial crisisLagrange multiplier testsextremal dependenceco-skewnesscontagion testingco-volatilityco-kurtosis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (2)

A regime switching skew-normal model of contagion ⋮ Joint tests of contagion with applications

Cites Work

• Econometric issues in the analysis of contagion
• Estimation and Moment Recursion Relations for Multimodal Distributions of the Exponential Family
• A New Class of Tests of Contagion With Applications

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