Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
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More about this item
KeywordsFinancial contagion; Asymmetric dependence; Financial crisis; Dynamic mixed copula; Volatility index; C32; C58; G01; G15;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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