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Measuring financial contagion: A Copula approach

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Rodriguez, Juan Carlos

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File URL: http://www.sciencedirect.com/science/article/B6VFG-4M3RP25-1/2/309a6b11e0f6ab6b7dca3239a02d6453
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 14 (2007)
Issue (Month): 3 (June)
Pages: 401-423
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Handle: RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423

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Web page: http://www.elsevier.com/locate/jempfin

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  1. Chollete, Lorán & Heinen, Andreas, 2006. "Frequent Turbulence? A Dynamic Copula Approach," Discussion Papers 2006/10, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  2. René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers 2009s-21, CIRANO. [Downloadable!]
  3. Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department. [Downloadable!]
  4. Jian Hu, 2008. "Dependence Structures in Chinese and U.S. Financial Markets: A Time-varying Conditional Copula Approach," Departmental Working Papers 0808, Southern Methodist University, Department of Economics, revised Nov 2008. [Downloadable!]
    Other versions:
  5. Chollete, Lorán & Heinen, Andréas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," Discussion Papers 2008/3, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
    Other versions:
  6. Mardi Dungey & Jan P.A.M. Jacobs & Lestano, 2005. "Synchronisation Of Financial Crises," CAMA Working Papers 2005-20, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
  7. David Peel & Ivan Paya & Shenqiu Zhang, 2009. "Linkages between Shanghai and Hong Kong stock indices," Working Papers 005927, Lancaster University Management School, Economics Department. [Downloadable!]
  8. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger. [Downloadable!]
  9. Pavlova, Anna & Rigobon, Roberto, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers 6647, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  10. Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004. [Downloadable!]
  11. Johansson, Anders C., 2009. "China'S Financial Market Integration With The World," Working Paper Series 2009-10, China Economic Research Center, Stockholm School of Economics. [Downloadable!]
  12. Busetti, F. & Harvey, A., 2008. "When is a copula constant? A test for changing relationships," Cambridge Working Papers in Economics 0841, Faculty of Economics, University of Cambridge. [Downloadable!]
  13. Paulo Horta & Carlos Mendes & Isabel Vieira, 2009. "Contagion Effects of the Subprime Crisis in the European Nyse-Euronext Markets," CEFAGE-UE Working Papers 2009_01, University of Evora, CEFAGE-UE (Portugal). [Downloadable!]
  14. Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," EconomiX Working Papers 2009-34, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
  15. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge. [Downloadable!]
  16. Manner, Hans & Candelon, Bertrand, 2007. "Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas," Research Memoranda 052, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  17. Fuchun Li, 2009. "Testing for Financial Contagion with Applications to the Canadian Banking System," Working Papers 09-14, Bank of Canada. [Downloadable!]
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