Spatial contagion between financial markets: a copula‐based approach |
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| Authors: | Fabrizio Durante Piotr Jaworski |
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| Institution: | 1. Department of Knowledge‐based Mathematical Systems, Johannes Kepler University, A‐4040 Linz, Austria;2. Institute of Mathematics, University of Warsaw, 02‐097 Warszawa, Poland |
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| Abstract: | A method is proposed for defining and investigating spatial contagion between two financial markets X and Y by using the information contained in their copula. A practical illustration of the introduced method is also given by examining the presence of contagion among two European stock indices (namely, FTSE 100 and DAX). Copyright © 2009 John Wiley & Sons, Ltd. |
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| Keywords: | bootstrapping copula financial contagion Spearman's correlation tail dependence |
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