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Spatial contagion between financial markets: a copula-based approach

✍ Scribed by Fabrizio Durante; Piotr Jaworski

Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 333 KB
Volume: 26
Category: Article
ISSN: 1524-1904
DOI: 10.1002/asmb.799

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✦ Synopsis

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 European stock indices (namely, FTSE 100 and DAX). Copyright © 2009 John Wiley & Sons, Ltd.

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