Measuring and Testing Tail Dependence and Contagion Risk between Major Stock Markets

Preprint OPEN
Su, EnDer;
(2013)
  • Subject: contagion risk, tail dependence, copula GARCH, threshold test
    • jel: jel:C0 | jel:C13

In this paper, three copula GARCH models i.e. Gaussian, Student-t, and Clayton are used to estimate and test the tail dependence measured by Kendall’s tau between six stock indices. Since the contagion risk spreads from large markets to small markets, the tail dependenc... View more
Share - Bookmark