The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles

Simone Manganelli, Lorenzo Cappiello and Bruno Gerard

No 77, Econometric Society 2004 Latin American Meetings from Econometric Society

Abstract: We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also take on extreme values. An application to the “tequila†crisis is performed

Keywords: contagion; conditional probabilities; CAViaR (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-fin
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ecm:latm04:77

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