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A New Approach to Measuring Financial Contagion

โœ Scribed by Bae, K.-H.

Book ID
115467394
Publisher
Oxford University Press
Year
2003
Tongue
English
Weight
841 KB
Volume
16
Category
Article
ISSN
0893-9454

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โœ Fabrizio Durante; Piotr Jaworski ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 333 KB

## Abstract A method is proposed for defining and investigating spatial contagion between two financial markets __X__ and __Y__ by using the information contained in their copula. A practical illustration of the introduced method is also given by examining the presence of contagion among two Europe