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Financial market volatility and contagion effect: A copula–multifractal volatility approach

✍ Scribed by Chen, Wang; Wei, Yu; Lang, Qiaoqi; Lin, Yu; Liu, Maojuan

Book ID
121670252
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
671 KB
Volume
398
Category
Article
ISSN
0378-4371

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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