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Contagion phenomena with applications in finance /

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...

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Bibliographic Details
Main Authors: Darolles, Serge (Author), Gourieroux, Christian, 1949- (Author)
Corporate Author: ScienceDirect (Online service)
Format: eBook
Language:English
Published: London, UK : Kidlington, Oxford, UK : ISTE, Ltd. ; Elsevier, 2015.
Series:Quantitative finance set.
Subjects:
Contagious distributions.
Finance > Mathematical models.
Finances > Modèles mathématiques.
MATHEMATICS > Applied.
MATHEMATICS > Probability & Statistics > General.
Contagious distributions
Finance > Mathematical models
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Call Number: QA273.6 .D27 2015eb
 
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