Extremal Dependence and Contagion
Year of publication: |
2014-05
|
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Authors: | Fry-McKibbin, Renée ; Hsiao, Cody Yu-Ling |
Institutions: | Crawford School of Public Policy, Australian National University |
Subject: | Co-skewness | Co-kurtosis | Co-volatility | Contagion testing | Extremal dependence | Financial crisis | Lagrangian multiplier tests |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 58 pages |
Classification: | C12 - Hypothesis Testing ; F30 - International Finance. General ; G11 - Portfolio Choice ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
-
Extremal dependence and contagion
Fry-McKibbin, Renée, (2014)
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Extremal dependence tests for contagion
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Extremal dependence tests for contagion
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A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion
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Actually This Time Is Different
Fry, Renée, (2011)
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Chinese Resource Demand and the Natural Resource Supplier
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