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, pages 49-74
Keywords: Financial contagion; Asymmetric dependence; Financial crisis; Dynamic mixed copula; Volatility index; C32; C58; G01; G15 (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74
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