Asymmetric extreme interdependence in em
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Beatriz Vaz de Melo Mendes
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Article
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2005
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John Wiley and Sons
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English
β 184 KB
π 1 views
## Abstract We assess the extent of integration between stock markets during stressful periods using the concept of copulas. Our methodology consists of fitting copulas to simultaneous exceedances of high thresholds, and computing copulaβbased measures of interdependence and contagion. Using 21 pai