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Dependence patterns across financial markets: a mixed copula approach

✍ Scribed by Hu, Ling


Book ID
115541550
Publisher
Taylor and Francis Group
Year
2006
Tongue
English
Weight
315 KB
Volume
16
Category
Article
ISSN
0960-3107

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## 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