IDEAS home Printed from https://ideas.repec.org/a/wly/apsmbi/v30y2014i3p303-327.html
   My bibliography  Save this article

On spatial contagion and multivariate GARCH models

Author

Listed:
  • Piotr Jaworski
  • Marcin Pitera

Abstract

We propose a method for defining and measuring spatial contagion between two financial markets via conditional copulas. Some theoretical results on monotonicity and asymptotic properties of Gaussian copulas with respect to conditioning are presented. Next, we combine the spatial contagion approach with time series models. We investigate which model from a large family of multivariate GARCH is the best tool for modelling spatial contagion. In an empirical study, we show that among models designed for general fit, a two‐step model fitting procedure reduces the ability to describe the contagion effect. This is a feature of copula‐GARCH models. Copyright © 2013 John Wiley & Sons, Ltd.

Suggested Citation

  • Piotr Jaworski & Marcin Pitera, 2014. "On spatial contagion and multivariate GARCH models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 30(3), pages 303-327, May.
  • Handle: RePEc:wly:apsmbi:v:30:y:2014:i:3:p:303-327
    DOI: 10.1002/asmb.1977
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asmb.1977
    Download Restriction: no

    File URL: https://libkey.io/10.1002/asmb.1977?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Karatetskaya Efrosiniya & Lakshina Valeriya, 2018. "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers WP BRP 72/FE/2018, National Research University Higher School of Economics.
    2. Piotr Jaworski & Marcin Pitera, 2015. "The 20-60-20 Rule," Papers 1501.02513, arXiv.org, revised Aug 2015.
    3. Valeria V. Lakshina, 2019. "Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?," HSE Working papers WP BRP 75/FE/2019, National Research University Higher School of Economics.
    4. Lakshina, Valeriya, 2020. "Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    5. Zheng, Yanting & Luan, Xin & Lu, Xin & Liu, Jiaming, 2023. "A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets," International Review of Financial Analysis, Elsevier, vol. 90(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:apsmbi:v:30:y:2014:i:3:p:303-327. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1526-4025 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.