Spatial contagion between financial markets: a copula‐based approach

Fabrizio Durante and Piotr Jaworski

Applied Stochastic Models in Business and Industry, 2010, vol. 26, issue 5, 551-564

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.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:26:y:2010:i:5:p:551-564

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