. Otherwise, copulas are a statistic tool to model the dependence in a realistic and less restrictive way, taking better account … of the stylized facts in finance. This paper is a practical implementation of the copulas theory to model dependence … the bivariate VaR level curves and to study extremal dependence between hedge funds strategies and share index returns …

2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and “wake-up call …

2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and â …

Cappiello, Engle and Sheppard (2006), we examine if there is contagion during the global financial crisis, following Lehman …), but only some banks faced high contagion during the global financial crisis (long term impact). Regulators who try to …

captures the changes in parameters associated with shift contagion. We find that contagion from the European sovereign debt …

We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis … procedure is preferable to the standard OLS estimation in the case of an international contagion study. …

Bayesian approach. Our main findings suggest that differences exist in the contagion effects. This implies that no …