Abstract
By using some ideas recently introduced by Durante and Jaworski, 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. © 2013 Springer-Verlag.
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CITATION STYLE
Durante, F., Foscolo, E., & Sabo, M. (2013). A spatial contagion test for financial markets. In Advances in Intelligent Systems and Computing (Vol. 190 AISC, pp. 313–320). Springer Verlag. https://doi.org/10.1007/978-3-642-33042-1_34
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