Measuring financial contagion : a copula approach

@inproceedings{Rodrguez2003MeasuringFC,
  title={Measuring financial contagion : a copula approach},
  author={Rodr{\'i}guez},
  year={2003}
}
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
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