Modelling International Stock Market Contagion Using Copula and Risk Appetite
暂无分享,去创建一个
[1] R. Rigobón,et al. No Contagion, Only Interdependence: Measuring Stock Market Comovements , 2002 .
[2] Kee-Hong Bae,et al. A New Approach to Measuring Financial Contagion , 2000 .
[3] A. Persaud,et al. Pure Contagion and Investors Shifting Risk Appetite: Analytical Issues and Empirical Evidence , 2001, SSRN Electronic Journal.
[4] C. Small,et al. The theory and applications of statistical inference functions , 1988 .
[5] James Xu,et al. Statistical modelling and inference for multivariate and longitudinal discrete response data , 1996 .
[6] Kee-Hong Bae,et al. A New Approach to Measuring Financial Contagion , 2000 .
[7] Satishs Iyengar,et al. Multivariate Models and Dependence Concepts , 1998 .
[8] Thorsten Rheinländer. Risk Management: Value at Risk and Beyond , 2003 .
[9] P. Embrechts,et al. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls , 2002 .
[10] Kostas Tsatsaronis,et al. Investors' attitude towards risk: what can we learn from options? , 2003 .
[11] Wolfgang Breymann,et al. Dependence structures for multivariate high-frequency data in finance , 2003 .
[12] J. Tawn,et al. Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications , 2004 .
[13] M. Misina. What Does the Risk-Appetite Index Measure? , 2003 .
[14] R. Rigobón,et al. No Contagion, Only Interdependence: Measuring Stock Market Co-Movements , 1999 .
[15] Stephen L Taylor,et al. The Euro and European Financial Market Integration , 2004 .
[16] M. Sklar. Fonctions de repartition a n dimensions et leurs marges , 1959 .
[17] P. Embrechts,et al. Chapter 8 – Modelling Dependence with Copulas and Applications to Risk Management , 2003 .