Contagion Phenomena with Applications in Finance

by Christian Gourieroux and Serge Darolles

Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and...

• Format: Hardcover
• Language: English
• ISBN: 1785480359
• ISBN13: 9781785480355
• Release Date: September 2015
• Publisher: Iste Press - Elsevier
• Length: 166 Pages
• Weight: 0.87 lbs.
• Dimensions: 0.4" x 6.0" x 9.0"