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Framework for Analyzing Spatial Contagion between Financial Markets
10 references·11 citing·47 second hop
Framework for Analyzing Spatial Contagion between Financial Markets (2004)Framework for Analyzing Spatial Contagion…Financial Risk and Heavy Tails (2003)Financial Risk and Heavy TailsNo Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Correlation and Dependence (2001)Correlation and DependencePortfolio selection with limited downside risk (2000)Portfolio selection with limi…Pitfalls in Tests for Changes in Correlations (1997)Pitfalls in Tests for Changes…Portfolio choice and equilibrium in capital markets with safety-first investors (1977)Portfolio choice and equilibr…Safety First--An Expected Utility Principle (1972)Safety First--An Expected Uti…Safety First and the Holding of Assets (1952)Safety First and the Holding …Spatial financial contagion during the COVID-19 outbreak: Local correlation approach (2021)Spatial financial contagion d…Detecting exchange rate contagion using copula functions (2018)Detecting exchange rate conta…Exchange rate contagion in Latin America (2015)Exchange rate contagion in La…A spatial contagion measure for financial time series (2014)A spatial contagion measure f…Statistical Assessments of Systemic Risk Measures (2013)Statistical Assessments of Sy…On spatial contagion and multivariate GARCH models (2013)On spatial contagion and mult…An Analysis of the Dependence Among Financial Markets by Spatial Contagion (2013)An Analysis of the Dependence…Measuring Financial Contagion by Local Gaussian Correlation (2010)Measuring Financial Contagion…Financial contagion: A local correlation analysis (2010)Financial contagion: A local …How to Estimate Spatial Contagion between Financial Markets (2005)How to Estimate Spatial Conta…Empirical Evidence on Spatial Contagion Between Financial Markets (2005)Empirical Evidence on Spatial…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Is the correlation in international equity returns constant: 1960–1990? 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this work references cited by second hop

References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2001Correlation and Dependence456 cited
  • 1997Pitfalls in Tests for Changes in Correlations381 cited
  • 1977Portfolio choice and equilibrium in capital markets with safety-first investors215 cited
  • 2003Financial Risk and Heavy Tails131 cited
  • 2000Portfolio selection with limited downside risk90 cited
  • 1972Safety First--An Expected Utility Principle74 cited

Cited by

  • 2010Financial contagion: A local correlation analysis43 cited
  • 2014A spatial contagion measure for financial time series39 cited
  • 2015Exchange rate contagion in Latin America35 cited
  • 2005Empirical Evidence on Spatial Contagion Between Financial Markets34 cited
  • 2013An Analysis of the Dependence Among Financial Markets by Spatial Contagion33 cited
  • 2021

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Spatial financial contagion during the COVID-19 outbreak: Local correlation approach
29 cited
  • 2018Detecting exchange rate contagion using copula functions27 cited
  • 2010Measuring Financial Contagion by Local Gaussian Correlation26 cited
  • 2005How to Estimate Spatial Contagion between Financial Markets25 cited
  • 2013Statistical Assessments of Systemic Risk Measures24 cited
  • 2013On spatial contagion and multivariate GARCH models24 cited