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The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles

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Author Info
Simone Manganelli
Lorenzo Cappiello
Bruno Gerard

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Abstract

We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also take on extreme values. An application to the “tequila†crisis is performed

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Paper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 77.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:latm04:77

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Related research
Keywords: contagion; conditional probabilities; CAViaR;

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Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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