Extremal Dependence and Contagion
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Cited by:
- Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017.
"Joint tests of contagion with applications to financial crises,"
CAMA Working Papers
2017-65, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Renee Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Fry-McKibbin, Renée & Hsiao, Cody Yu-Ling & Martin, Vance L., 2018. "Global and regional financial integration in East Asia and the ASEAN," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 202-221.
- Cody Yu-Ling Hsiao & James Morley, 2022.
"Debt and financial market contagion,"
Empirical Economics, Springer, vol. 62(4), pages 1599-1648, April.
- Cody Yu-Ling Hsiao & James Morley, 2015. "Debt and Financial Market Contagion," Discussion Papers 2015-02, School of Economics, The University of New South Wales.
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More about this item
Keywords
Co-skewness; Co-kurtosis; Co-volatility; Contagion testing; Extremal dependence; Financial crisis; Lagrangian multiplier tests.;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- F30 - International Economics - - International Finance - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2014-05-17 (Banking)
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