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An Analysis of the Dependence Among Financial Markets by Spatial Contagion
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2011Quantitative Risk Management985 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2003A Primer on Financial Contagion696 cited
  • 2010Copula Theory and Its Applications669 cited
  • 2012A review of copula models for economic time series587 cited
  • 2010Financial crises and stock market contagion in a multivariate time-varying asymmetric framework424 cited
  • 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification402 cited
  • 2011Dynamic Copula Methods in Finance179 cited
  • 2010Copula-Based Measures of Multivariate Association96 cited

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  • 2011Simulating Copulas95 cited
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