Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
| Year of publication: |
2012
|
|---|---|
| Authors: | Peng, Yue ; Ng, Wing |
| Published in: |
Annals of Finance. - Springer. - Vol. 8.2012, 1, p. 49-74
|
| Publisher: |
Springer |
| Subject: | Financial contagion | Asymmetric dependence | Financial crisis | Dynamic mixed copula | Volatility index |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866542