Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Yue Peng and Wing Ng ()

Annals of Finance, 2012, vol. 8, issue 1, 49-74

Keywords: Financial contagion; Asymmetric dependence; Financial crisis; Dynamic mixed copula; Volatility index; C32; C58; G01; G15 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10436-011-0181-y

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