Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector

被引：2
|
作者：
Durante, Fabrizio [1 ]
Foscolo, Enrico [1 ]
Jaworski, Piotr [2 ]
Wang, Hao [3 ]
机构：
[1] Free Univ Bozen, Sch Econ & Management, Bolzano, Italy
[2] Univ Warsaw, Inst Math, Warsaw, Poland
[3] Sapienza Univ Rome, Dept Methods & Models Econ Terr & Finance, Rome, Italy
来源：
STRENGTHENING LINKS BETWEEN DATA ANALYSIS AND SOFT COMPUTING | 2015年 / 315卷
关键词：
Contagion; Copula; Tail dependence; FINANCIAL-MARKETS;
D O I：
10.1007/978-3-319-10765-3_26
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
We present some connectedness measures for an economic system that are derived from the spatial contagion measure. These measures are calculated directly from time series data and do not require any parametric assumption. The given definitions are illustrated in an empirical analysis of the behavior of European banking and insurance sector in the recent years.
引用
收藏
页码：217 / 224
页数：8
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