A Spatial Contagion Test for Financial Markets

被引：0
|
作者：
Durante, Fabrizio [1 ]
Foscolo, Enrico [1 ]
Sabo, Miroslav [2 ]
机构：
[1] Free Univ Bozen Bolzano, Sch Econ & Management, Bolzano, Italy
[2] Slovak Univ Technol Bratislava, Dept Math & Construct Geometry, Bratislava, Slovakia
来源：
SYNERGIES OF SOFT COMPUTING AND STATISTICS FOR INTELLIGENT DATA ANALYSIS | 2013年 / 190卷
关键词：
Financial crisis; spatial contagion; threshold copulas;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
By using some ideas recently introduced by Durante and Jaworslci, we present a test for spatial contagion among financial markets. This test is based on a comparison between threshold copulas associated with a given pair of random variables representing two financial markets. Moreover, the described methodology is used in order to check the presence of contagion among European markets in the recent financial crisis.
引用
收藏
页码：313 / +
页数：2
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