Measuring financial contagion:a copula approach

By Juan Carlos Meléndez Rodríguez. 2007

875 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/78adf94d9519df6e3fd61e49e4ae705bed38d320

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Citations in the corpus

Copula-Based Models for Financial Time Series (2009, methodology): “Rodriguez (2007) was the rst to apply copulas to contagion, which he studies with a Markov switching copula model.”
Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets (2012, background): “Recent empirical studies applying copulas, e.g., Chen and Fan (2006); Kole, Koedijk, and Verbeek (2007); Okimoto (2008); Patton (2006a and b); and Rodriguez (2007), focus on developed countries but pay less attention to emerging markets, in particular the dependence between stock markets and…”
Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, background): “(8)Longin and Solnik (2001) and Rodriguez (2007) apply the lower tail dependence coefficient to analyze financial contagion between different international equity markets. Boyson, Stahel, and Stulz (2010) use a similar technique to study contagion across different hedge fund styles.”
Modeling International Financial Returns with a Multivariate Regime Switching Copula (2009, positive): “Our dependence model can be thought of as a multivariate extension of the model in Rodriguez (2007) or as an extension to more realistic dependence of the Pelletier (2006) model.”
Dependence structure and extreme comovements in international equity and bond markets (2011, positive): “We can therefore write (3.1) equivalently as 14 See Nelsen (1999) for a general presentation.”
Copula Methods for Forecasting Multivariate Time Series (2013, methodology): “…integration between seventeen European stock market indices; Heinen and Rengifo (2007) use copulas to model multivariate time series of count data; Rodriguez (2007) uses copulas to study nancial contagion; Dearden, et al. (2008) and Bonhomme and Robin (2009) use copulas to model the dynamics in…”
A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach (2013, positive): “To capture the above dependence switching, this paper proposes a Markov-switching copula model in which the unobserved state variable affects both copula functions and marginal models (Rodriguez, 2007; Okimoto, 2008).”