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

  • Simone Manganelli
  • Lorenzo Cappiello
  • Bruno Gerard

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
Date of revision:
Handle: RePEc:ecm:latm04:77
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  29. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
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