## 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
β¦ LIBER β¦
Measuring contagion between energy market and stock market during financial crisis: A copula approach
β Scribed by Wen, Xiaoqian; Wei, Yu; Huang, Dengshi
- Book ID
- 121499207
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 597 KB
- Volume
- 34
- Category
- Article
- ISSN
- 0140-9883
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