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Antonio Cosma

Personal Details

First Name:Antonio
Middle Name:
Last Name:Cosma
Suffix:
RePEc Short-ID:pco765
[This author has chosen not to make the email address public]
Terminal Degree:2004 (from RePEc Genealogy)

Affiliation

Département d'Économie et de Management
Faculté de droit, d'économie et de finance
Université du Luxembourg

Luxembourg, Luxembourg
http://wwwfr.uni.lu/research/fdef/dem

(+352) 46 66 44
(+352) 46 66 44 ext 633
6, rue Richard Coudenhove-Kalergi, L-1359 Luxembourg
RePEc:edi:crcrplu (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Michel Beine & Antonio Cosma & Robert Vermeulen, 2008. "The Dark Side of Global Integration: Increasing Tail Dependence," CREA Discussion Paper Series 08-03, Center for Research in Economic Analysis, University of Luxembourg.
  2. COSMA, Antonio & GALLI, Fausto, 2006. "A nonparametric ACD model," LIDAM Discussion Papers CORE 2006067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Antonio Cosma & Olivier Scaillet & Rainer von Sachs, 2005. "Multiariate Wavelet-based sahpe preserving estimation for dependant observation," FAME Research Paper Series rp144, International Center for Financial Asset Management and Engineering.

Articles

  1. Beine, Michel & Cosma, Antonio & Vermeulen, Robert, 2010. "The dark side of global integration: Increasing tail dependence," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 184-192, January.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Michel Beine & Antonio Cosma & Robert Vermeulen, 2008. "The Dark Side of Global Integration: Increasing Tail Dependence," CREA Discussion Paper Series 08-03, Center for Research in Economic Analysis, University of Luxembourg.

    Cited by:

    1. Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
    2. Asongu Simplice, 2012. "Are Proposed African Monetary Unions Optimal Currency Areas? Real, Monetary and Fiscal Policy Convergence Analysis," Working Papers of the African Governance and Development Institute. 12/006, African Governance and Development Institute..
    3. Stanimira Milcheva & Bing Zhu, 2018. "Asset pricing, spatial linkages and contagion in real estate stocks," Journal of Property Research, Taylor & Francis Journals, vol. 35(4), pages 271-295, October.
    4. Mylonidis, Nikolaos & Kollias, Christos, 2010. "Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2056-2064, September.
    5. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4738-4754.
    6. Demirer, Rıza & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2020. "Oil price shocks, global financial markets and their connectedness," Energy Economics, Elsevier, vol. 88(C).
    7. Kim, In Joon & Kim, So Jung & Yoon, Sun-Joong, 2014. "A dark side of international capital market integration: Domestic investors' view," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 238-256.
    8. Wahbeeah Mohti & Andreia Dionísio & Paulo Ferreira & Isabel Vieira, 2019. "Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis," Economies, MDPI, Open Access Journal, vol. 7(1), pages 1-14, February.
    9. Bedendo, Mascia & Campolongo, Francesca & Joossens, Elisabeth & Saita, Francesco, 2010. "Pricing multiasset equity options: How relevant is the dependence function?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 788-801, April.
    10. Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014. "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]," MPRA Paper 62092, University Library of Munich, Germany, revised 10 Feb 2015.
    11. Lee, Byung-Joo, 2019. "Asian financial market integration and the role of Chinese financial market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 490-499.
    12. Asongu Simplice, 2012. "Real and Monetary Policy Convergence: EMU Crisis to the CFA Zone," Working Papers of the African Governance and Development Institute. 12/033, African Governance and Development Institute..
    13. Nicolas Debarsy & Cyrille Dossougoin & Cem Ertur & Jean-Yves Gnabo, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Post-Print hal-01744629, HAL.
    14. Simplice A. Asongu, 2014. "African financial development dynamics: big time convergence," African Journal of Economic and Management Studies, Emerald Group Publishing, vol. 5(2), pages 160-194, July.
    15. Fry-McKibbin, Renée & Hsiao, Cody Yu-Ling & Martin, Vance L., 2018. "Global and regional financial integration in East Asia and the ASEAN," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 202-221.
    16. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema, 2011. "Do market capitalization and stocks traded converge? New global evidence," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2771-2781, October.
    17. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011. "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 130-141, January.
    18. Aladesanmi, Olalekan & Casalin, Fabrizio & Metcalf, Hugh, 2019. "Stock market integration between the UK and the US: Evidence over eight decades," Global Finance Journal, Elsevier, vol. 41(C), pages 32-43.
    19. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Specification Testing in Hawkes Models," Tinbergen Institute Discussion Papers 15-086/III, Tinbergen Institute.
    20. Cimadomo, Jacopo & Furtuna, Oana & Giuliodori, Massimo, 2018. "Private and public risk sharing in the euro area," Working Paper Series 2148, European Central Bank.
    21. Weida Kuang & Qilin Wang, 2018. "Cultural similarities and housing market linkage: evidence from OECD countries," Frontiers of Business Research in China, Springer, vol. 12(1), pages 1-25, December.
    22. Maarten R.C. van Oordt & Chen Zhou, 2011. "The simple econometrics of tail dependence," DNB Working Papers 296, Netherlands Central Bank, Research Department.
    23. Simplice A, Asongu, 2012. "Government quality determinants of stock market performance in African countries," MPRA Paper 39631, University Library of Munich, Germany.
    24. Akhtaruzzaman, Md & Shamsuddin, Abul & Easton, Steve, 2014. "Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 378-396.
    25. Yu, Ip-Wing & Fung, Kang-Por & Tam, Chi-Sang, 2010. "Assessing financial market integration in Asia - Equity markets," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2874-2885, December.
    26. Allegret, Jean-Pierre & Raymond, Hélène & Rharrabti, Houda, 2017. "The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 24-37.
    27. Weiß, Gregor N.F. & Neumann, Sascha & Bostandzic, Denefa, 2014. "Systemic risk and bank consolidation: International evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 165-181.
    28. Chiu, Wan-Chien & Peña, Juan Ignacio & Wang, Chih-Wei, 2015. "Industry characteristics and financial risk contagion," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 411-427.
    29. Hartwell, Christopher A., 2018. "The impact of institutional volatility on financial volatility in transition economies," Journal of Comparative Economics, Elsevier, vol. 46(2), pages 598-615.
    30. Chien, Mei-Se & Lee, Chien-Chiang & Hu, Te-Chung & Hu, Hui-Ting, 2015. "Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5," Economic Modelling, Elsevier, vol. 51(C), pages 84-98.
    31. Podlich, Natalia & Wedow, Michael, 2011. "Credit contagion between financial systems," Discussion Paper Series 2: Banking and Financial Studies 2011,15, Deutsche Bundesbank.
    32. Nicholas Apergis & Christis Hassapis & Christina Christou & Steve Johnson, 2015. "International Earnings To Price Ratio Convergence: Evidence From The European Union," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(5), pages 37-55.
    33. Hong Li & Vincent Daly, 2017. "Stock Market Integration and Financial Crises: Evidence from Chinese Sectoral Portfolios," Review of Economics & Finance, Better Advances Press, Canada, vol. 10, pages 33-48, November.
    34. Beine, Michel & Lodigiani, Elisabetta & Vermeulen, Robert, 2012. "Remittances and financial openness," Regional Science and Urban Economics, Elsevier, vol. 42(5), pages 844-857.
    35. Yamamoto, Shugo, 2020. "Banking Network Multiplier effects on cross-border bank inflows," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 493-507.
    36. Asongu Simplice, 2012. "African Stock Market Performance Dynamics: A Multidimensional Convergence Assessment," Working Papers of the African Governance and Development Institute. 12/004, African Governance and Development Institute..
    37. Hilal, Sawsan & Poon, Ser-Huang & Tawn, Jonathan, 2011. "Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2374-2387, September.
    38. Vithessonthi, Chaiporn & Tongurai, Jittima, 2016. "Financial markets development, business cycles, and bank risk in South America," Research in International Business and Finance, Elsevier, vol. 36(C), pages 472-484.
    39. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(5), pages 1-23, May.
    40. Faruk Balli & Syed Abul Basher & Hatice Ozer Balli, 2013. "International Income Risk-Sharing and the Global Financial Crisis of 2008- 2009," CAMA Working Papers 2013-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    41. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
    42. Faten Ben Slimane & Mohamed Mehanaoui & Irfan A. Kazi, 2014. "Interdependency and Spillover during the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data," Working Papers 2014-126, Department of Research, Ipag Business School.
    43. Vermeulen, Robert, 2013. "International diversification during the financial crisis: A blessing for equity investors?," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 104-123.
    44. Zhenxi Chen, 2020. "Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach," Manchester School, University of Manchester, vol. 88(2), pages 262-281, March.
    45. Ebenezer Asem & Vishaal Baulkaran & Rossitsa Yalamova & Xiaofei Zhang, 2017. "Internal Market Efficiency, Market Co-movement, and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 253-267, December.
    46. Sei-Wan Kim & Moon Jung Choi, 2016. "Does Intra-Regional Trade Matter in Regional Stock Markets?: New Evidence from Asia-Pacific Region," Working Papers 2016-11, Economic Research Institute, Bank of Korea.
    47. Paulo Ferreira, 2017. "Portuguese and Brazilian stock market integration: a non-linear and detrended approach," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 49-63, April.
    48. Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2018. "Measuring financial interdependence in asset returns with an application to euro zone equities," CAMA Working Papers 2018-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    49. Sei‐Wan Kim & Moon Jung Choi & Young‐Min Kim, 2019. "Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region," Asian Economic Journal, East Asian Economic Association, vol. 33(3), pages 253-280, September.
    50. Kabir, Sarkar Humayun & Masih, Mansur, 2014. "Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia," MPRA Paper 57007, University Library of Munich, Germany.
    51. Mohti, Wahbeeah & Dionísio, Andreia & Vieira, Isabel & Ferreira, Paulo, 2019. "Financial contagion analysis in frontier markets: Evidence from the US subprime and the Eurozone debt crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1388-1398.
    52. Huo, Lijuan & Kim, Tae-Hwan & Kim, Yunmi, 2012. "Robust estimation of covariance and its application to portfolio optimization," Finance Research Letters, Elsevier, vol. 9(3), pages 121-134.
    53. Priyanshi Gupta & Sanjay Sehgal, 2020. "Convergence of retail banking interest rates to households in euro area: time-varying measurement and determinants," International Economics and Economic Policy, Springer, vol. 17(1), pages 25-65, February.
    54. Narayan, S. & Le, T.-H. & Sriananthakumar, S., 2018. "The influence of terrorism risk on stock market integration: Evidence from eight OECD countries," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 247-259.
    55. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2011. "International diversification: A copula approach," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 403-417, February.
    56. Simplice A, Asongu, 2012. "Democracy and Stock Market Performance in African Countries," MPRA Paper 38168, University Library of Munich, Germany.
    57. Vithessonthi, Chaiporn, 2014. "Financial markets development and bank risk: Experience from Thailand during 1990–2012," Journal of Multinational Financial Management, Elsevier, vol. 27(C), pages 67-88.
    58. Ip-wing Yu & Laurence Fung & Chi-sang Tam, 2007. "Assessing Financial Market Integration In Asia - Equity Markets," Working Papers 0704, Hong Kong Monetary Authority.
    59. Mengheng Li & Marcel Scharth, 2018. "Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model," Working Paper Series 49, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    60. Bilbao-Terol, Amelia & Arenas-Parra, Mar & Cañal-Fernández, Verónica, 2016. "A model based on Copula Theory for sustainable and social responsible investments," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 19(1), pages 55-76.
    61. Simplice A, Asongu, 2012. "Are Proposed African Monetary Unions Optimal Currency Areas? Real and Monetary Policy Convergence Analysis," MPRA Paper 36056, University Library of Munich, Germany.
    62. Simon Stevenson, 2016. "Macro-Economic and Financial Determinants of Comovement across Global Real Estate Security Markets," Journal of Real Estate Research, American Real Estate Society, vol. 38(4), pages 595-624.
    63. Thijs Markwat, 2014. "The rise of global stock market crash probabilities," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 557-571, April.
    64. Milcheva, Stanimira & Zhu, Bing, 2016. "Bank integration and co-movements across housing markets," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 148-171.
    65. Vithessonthi, Chaiporn, 2014. "The effect of financial market development on bank risk: evidence from Southeast Asian countries," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 249-260.
    66. Herrera, R. & Eichler, S., 2011. "Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2916-2930, November.
    67. Dimpfl, Thomas & Flad, Michael & Jung, Robert C., 2017. "Price discovery in agricultural commodity markets in the presence of futures speculation," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 50-62.
    68. Frijns, Bart & Tourani-Rad, Alireza & Indriawan, Ivan, 2012. "Political crises and the stock market integration of emerging markets," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 644-653.
    69. Michel Beine & Elisabetta Lodigiani & Robert Vermeulen, 2010. "Remittances and Financial Openness," CESifo Working Paper Series 3090, CESifo.
    70. Guedes, E. & Dionísio, A. & Ferreira, P.J. & Zebende, G.F., 2017. "DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 38-47.
    71. Thomas Chiang & Lin Tan & Jiandong Li & Edward Nelling, 2013. "Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications," Multinational Finance Journal, Multinational Finance Journal, vol. 17(3-4), pages 165-200, September.
    72. Pui Sun Tam & Pui I Tam, 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers SFB649DP2012-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    73. Chia-Hao Lee & Pei-I Chou, 2012. "Trading Activity and Financial Market Integration," The Financial Review, Eastern Finance Association, vol. 47(3), pages 589-616, August.
    74. Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
    75. Sudharshan Reddy Paramati & Eduardo Roca & Rakesh Gupta, 2016. "Economic integration and stock market dynamic linkages: evidence in the context of Australia and Asia," Applied Economics, Taylor & Francis Journals, vol. 48(44), pages 4210-4226, September.
    76. Liu, Lu, 2013. "International stock market interdependence: Are developing markets the same as developed markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 226-238.

  2. COSMA, Antonio & GALLI, Fausto, 2006. "A nonparametric ACD model," LIDAM Discussion Papers CORE 2006067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Patrick W. Saart & Jiti Gao & David E. Allen, 2015. "Semiparametric Autoregressive Conditional Duration Model: Theory and Practice," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 849-881, December.

  3. Antonio Cosma & Olivier Scaillet & Rainer von Sachs, 2005. "Multiariate Wavelet-based sahpe preserving estimation for dependant observation," FAME Research Paper Series rp144, International Center for Financial Asset Management and Engineering.

    Cited by:

    1. Morettin Pedro A. & Toloi Clelia M.C. & Chiann Chang & de Miranda José C.S., 2011. "Wavelet Estimation of Copulas for Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(3), pages 1-31, October.
    2. Benjamin Beckers & Helmut Herwartz & Moritz Seidel, 2017. "Risk forecasting in (T)GARCH models with uncorrelated dependent innovations," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 121-137, January.
    3. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
    4. Richard Spady & Sami Stouli, 2012. "Dual Regression," Papers 1210.6958, arXiv.org, revised Sep 2018.

Articles

  1. Beine, Michel & Cosma, Antonio & Vermeulen, Robert, 2010. "The dark side of global integration: Increasing tail dependence," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 184-192, January.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (1) 2014-03-15
  2. NEP-ETS: Econometric Time Series (1) 2005-06-05

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