Detecting Financial Contagion Using a New Nonparametric Measure of Asymmetric Comovements

This article proposes a new nonparametric test to detect financial contagion by using a Kendall's tau-based asymmetric measure of comovements between two time series. Simulation studies demonstrate the reasonable size performance and good power in finite sample of our test. An empirical application of our test on exchange rate markets before and after the COVID-19 pandemic reveals interesting insights about financial contagion

MoreLess

Year of publication:	2022
Authors:	Zhang, Feipeng ; Xu, Yixiong ; Yuan, Di
Publisher:	[S.l.] : SSRN
Subject:	Ansteckungseffekt \| Contagion effect \| Finanzkrise \| Financial crisis \| Schätzung \| Estimation \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Theorie \| Theory \| Finanzmarkt \| Financial market \| Schock \| Shock

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (26 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4265555 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014236336