What is the best approach to measure the interdependence between different markets

Dominique Guegan () and Sophie A. Ladoucette ()
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Dominique Guegan: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Sophie A. Ladoucette: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Keywords: Contagion; Correlation; Copulas; MSCI -Tail behavior (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (6)

Published in NER Banque de France, 2002, 94, pp.1 - 64

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00201333

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