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Measuring financial contagion: A Copula approach

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  • Rodriguez, Juan Carlos

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  • Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
    • Handle: RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423
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    5. Taimur Baig & Ilan Goldfajn, 1999. "Financial Market Contagion in the Asian Crisis," IMF Staff Papers, Palgrave Macmillan, vol. 46(2), pages 1-3.
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    10. Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003. "A New Approach to Measuring Financial Contagion," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 717-763, July.
    11. Michael Rockinger & Eric Jondeau, 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working Papers hal-00601478, HAL.
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    13. Klugman, Stuart A. & Parsa, Rahul, 1999. "Fitting bivariate loss distributions with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 139-148, March.
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