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Extreme Contagion in Equity Markets · Study

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ArticleExtreme Contagion in Equity Markets

Jorge A. Chan‐Lau2004

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Articlegreen2004

Extreme Contagion in Equity Markets

Jorge A. Chan‐Lau · Donald J. Mathieson · James Yudong Yao

114 citations·0/0 files stored·IMF Staff Papers

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 2001Extreme Correlation of International Equity Markets 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1989International Transmission of Stock Market Movements 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements

Cited by

2016Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets 2005Financial contagion vulnerability and resistance: A comparison of European stock markets 2015Dynamic convergence of commodity futures: Not all types of commodities are alike 2022Contagion and tail risk in complex financial networks 2009Extreme coexceedances in new EU member states' stock markets

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Year2004

Typearticle

Published2004-01-01

VenueIMF Staff Papers

ISSN-L1020-7635

Languageen

Citations114

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2307/30035880

openalex_workW3124198545

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