Measuring financial contagion : a copula approach

  title={Measuring financial contagion : a copula approach},
This paper studies financial contagion using a methodology that goes beyond the simple analysis of correlation breakdown, and, at the same time, is careful in the characterization of nonlinearity and asymptotic dependence. It also avoids discretion in the identification of the contagious episodes and in the definition of extreme outcomes. It accomplishes these objectives by the use of copulas with Markov switching parameters. Using daily returns of stock indices from five East Asian countries… CONTINUE READING
Highly Cited
This paper has 156 citations. REVIEW CITATIONS


Publications citing this paper.

157 Citations

Citations per Year
Semantic Scholar estimates that this publication has 157 citations based on the available data.

See our FAQ for additional information.


Publications referenced by this paper.
Showing 1-10 of 27 references

No Contagion, Only Interdependence: Measuring Stock Markets Comovements

  • K. Forbes, R. Rigobon
  • Journal of Finance,
  • 2002
Highly Influential
8 Excerpts

An Introduction to Copulas

  • R. Nelsen
  • 1999
Highly Influential
12 Excerpts

Stock Market Volatility and the Business Cycle

  • D. Hamilton, G. Lin
  • Journal of Applied Econometrics,
  • 1996
Highly Influential
5 Excerpts

Autoregressive Conditional Heteroskedasticity and Changes in Regime

  • D. Hamilton, R. Susmel
  • Journal of Econometrics,
  • 1994
Highly Influential
8 Excerpts

Volatility and Cross Correlation Across Major Stock Markets

  • L. Ramchand, R. Susmel
  • Journal of Empirical Finance,
  • 1998
Highly Influential
3 Excerpts

Multivariate Models and Dependence Concepts

  • H. Joe
  • 1997
Highly Influential
4 Excerpts

Similar Papers

Loading similar papers…