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Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

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  • Yue Peng
  • Wing Ng

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    File URL: http://hdl.handle.net/10.1007/s10436-011-0181-y
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    Bibliographic Info

    Article provided by Springer in its journal Annals of Finance.

    Volume (Year): 8 (2012)
    Issue (Month): 1 (February)
    Pages: 49-74

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    Handle: RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74

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    Web page: http://www.springerlink.com/link.asp?id=112370

    Related research

    Keywords: Financial contagion; Asymmetric dependence; Financial crisis; Dynamic mixed copula; Volatility index; C32; C58; G01; G15;

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    28. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
    29. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November.
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