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

Author

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  • Simone Manganelli
  • Lorenzo Cappiello
  • Bruno Gerard

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

Suggested Citation

  • Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society.
  • Handle: RePEc:ecm:latm04:77
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    References listed on IDEAS

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    More about this item

    Keywords

    contagion; conditional probabilities; CAViaR;

    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; Dynamic Treatment Effect Models; Diffusion Processes

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