Coexceedances in financial markets--a quantile regression analysis of contagion

By Dirk G. Baur, Niels Schulze. 2005

159 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/20215df09a300cc4ab2ac7ce9e6a88d1d792b7cf

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Citations in the corpus

Using local Gaussian correlation in a nonlinear re-examination of financial contagion (2014, background): “Some of the first studies on testing for contagion focused on the cross-market correlations before a shock (that is, in a ‘stable period’) and after the shock (in a ‘turmoil period’); see for instance Bertero and Mayer (1989) and King and Wadhwani (1990), and references therein.”
Extreme Coexceedances in New EU Member States' Stock Markets (2008, unknown): “3For a more detailed analysis about this bias, see Boyer, Gibson and Loretan (1999), Forbes and Rigobon (2002), Baur and Schulze (2005), and Longin and Solnik (2001).”
A New Class of Tests of Contagion With Applications (2008, background): “(3) From intertemporal asset pricing theory, mt+1 is given by the Euler equation mt+1 = βu ′(wt+1) u′(wt) , (4) where β is the time discount rate and u′(·) is the marginal utility obtained from wealth, w.”
The Structure and Degree of Dependence - A Quantile Regression Approach (2012, unknown): “and Forbes and Rigobon (2002) use a linear dependence measure, Bae, Karolyi and Stulz (2003) and Baur and Schulze (2005) use coexceedances estimated within a multinomial logit framework and a quantile regression framework, respectively.”
Empirical Modeling of Contagion (2004, unknown): “Bae, Karolyi and Stulz (2003) choose THRESH = −5 percent, while Baur and Schulze (2002) extend this to consider a number of different thresholds endogenously.23 A co-exceedance occurs at a point in time when E1,t and E2,t both exceed the threshold level E1,t, E2,t = 1. That is, both asset markets ex”