Horta, Paulo; Mendes, Carlos; Vieira, Isabel - Centro de Estudos e Formação Avançada em Gestão e … - 2009
This paper presents three tests of contagion of the US subprime crisis to the European markets of the NYSE-Euronext group. Copula models are used to analyse dependence structures between the US's and the other markets in the sample, in the pre-crisis and in the subprime crisis periods. The first...