Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison
The aim of this chapter is to dsicuss the contagionbetween the financial sphere and the real sphere. We define the concept of contagion, then we introduce some parametric models used to detect the contagion phenomenum, then we introduce some non-parametric tools focusing on copulas. Interdependence between national economies is investigated through these tools. Finally we investigate the interdependence between the financial and the real spheres.
|Date of creation:||2011|
|Date of revision:|
|Publication status:||Published in Catherine Kyrtsou, Costas Vorlow. Progress in financial market research, NOVA publishers, pp.233-254, 2011|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00185373|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
- Avouyi-Dovi, S. & Guégan, D. & Ladoucette, S., 2002. "What is the Best Approach to Measure the Interdependence between Different Markets?," Working papers 95, Banque de France.
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