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Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

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  • Yue Peng
  • Wing Ng

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  • Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
  • Handle: RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74
    DOI: 10.1007/s10436-011-0181-y
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    More about this item

    Keywords

    Financial contagion; Asymmetric dependence; Financial crisis; Dynamic mixed copula; Volatility index; C32; C58; G01; G15;
    All these keywords.

    JEL classification:

    • 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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