Extremal dependence tests for contagion
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- Renée Fry-McKibbin & Cody Yu-Ling Hsiao, 2018. "Extremal dependence tests for contagion," Econometric Reviews, Taylor & Francis Journals, vol. 37(6), pages 626-649, July.
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More about this item
Keywords
Co-skewness; Co-kurtosis; Co-volatility; Contagion testing; Extremal dependence; Financial crisis; Lagrange 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-CBA-2015-11-07 (Central Banking)
- NEP-ECM-2015-11-07 (Econometrics)
- NEP-ETS-2015-11-07 (Econometric Time Series)
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