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• W2169439765 abstract "This paper models dependence with switching-parameter copulas to study financial contagion. Using daily returns from five East Asian stock indices during the Asian crisis, and from four Latin American stock indices during the Mexican crisis, it finds evidence of changing dependence during periods of turmoil. Increased tail dependence and asymmetry characterize the Asian countries, while symmetry and tail independence describe the Latin American case. Structural breaks in tail dependence are a dimension of the contagion phenomenon. Therefore, the rejection of the correlation breakdown hypothesis should not be considered, without further investigation, as evidence of a stable dependence structure." @default.
• W2169439765 created "2016-06-24" @default.
• W2169439765 creator A5076618533 @default.
• W2169439765 date "2007-06-01" @default.
• W2169439765 modified "2023-10-14" @default.
• W2169439765 title "Measuring financial contagion: A Copula approach" @default.
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• W2169439765 doi "https://doi.org/10.1016/j.jempfin.2006.07.002" @default.
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