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- W1929730003 abstract "Abstract In this paper, we test the hypothesis of contagion in the subprime mortgage crisis by applying the theory of copulas to measure the contagion among a sample of eight emerging and eight developed markets. The empirical results show that this new approach proves more appropriate to describe the non-linear and complex dynamics of the financial market returns than traditional modeling which imply a normality hypothesis. In addition, this study confirms the contagious nature of the crisis between emerging and developed markets." @default.
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- W1929730003 date "2011-01-01" @default.
- W1929730003 modified "2023-09-25" @default.
- W1929730003 title "Detecting financial markets contagion using copula functions" @default.
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- W1929730003 doi "https://doi.org/10.1080/17509653.2011.10671194" @default.
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