In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Z^n. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes which is able to pick up the complex nonlinear dynamics...

The paper develops an easy-to-apply test for contagion. In order to address the main challenge of any contagion test, that of endogeneity, the testing is conducted in the structural vector autoregression (SVAR) framework where we assume the reduced form errors follow a mixed-normal distribution....

The most common approach for default dependence modelling is at present copula functions. Within this framework, the paper examines factor copulas, which are the industry standard, together with their latest development, namely the incorporation of sudden jumps to default instead of a pure...

This paper investigates the Chinese mainland Stock Exchanges and their following interconnecting features: savers' attitude towards stock investments, investors' trading behaviour and stock returns explanations. We evaluate the eectiveness of the recent eorts made by the Chinese authorities to...

This paper investigates the Chinese mainland Stock Exchanges and their following interconnecting features: savers’ attitude towards stock investments, investors’ trading behaviour and stock returns explanations. We evaluate the effectiveness of the recent efforts made by the Chinese...

In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions. The main finding is that the t-copula and the Gumbel-Clayton mixture copula are the most...

This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out risk management implications. The analysis is based on a Kalman filter estimation of a two-factor affine model which specifies the yield curve dynamics. We then apply a broad...

This study makes an innovative approach, since it applies a set of diversified tests, which have not been used on a joint basis until now, in order to study the contagion effects of financial crises in the stock markets of developed countries. This is particularly important due to the fact that...