Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Annals of Finance

Volumn 8, Issue 1, 2012, Pages 49-74

  Peng, Yue ^a   Ng, Wing Lon ^a  

^a UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

Asymmetric dependence; Dynamic mixed copula; Financial contagion; Financial crisis; Volatility index

Indexed keywords

EID: 84856232883     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-011-0181-y     Document Type: Article

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