Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
type: Item
instance of: scholarly article
title: Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
zbMATH Open document ID: 1298.91206
author: Yue Peng
author: Wing Lon Ng
published in: Annals of Finance
publication date: 2014-11-12T00:00:00Z
Mathematics Subject Classification ID: 91G99
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6368782
zbMATH Keywords: financial contagion
zbMATH Keywords: asymmetric dependence
zbMATH Keywords: financial crisis
zbMATH Keywords: dynamic mixed copula
zbMATH Keywords: volatility index
MaRDI profile type: Publication
full work available at URL: s10436-011-0181-y
OpenAlex ID: W2087284513
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DOI: 10.1007/S10436-011-0181-Y
description: scientific article; zbMATH DE number 6368782