Modelling international stock market contagion using copula and risk appetite

Modelling international stock market contagion using copula and risk appetite
Document type
Working Paper
Author(s)
Chen, Sichong; Poon, Ser-Huang
Publisher
Manchester Business School
Date of publication
1 October 2007
Series
University of Manchester Business School Working Papers. No. 520
Subject(s)
Trends: economic, social and technology trends affecting business
Collection
Business and management
Material type
Reports

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Forbes and Rigobon (2002) claim there was no contagion among international stock markets during the 1997 Asian crisis, with contagion being defined as an increase in dependence. The authors of this paper revisit this issue using a more robust methodology based on copula. After controlling for heteroskedasticity with the skewed-t AR-GARCH model, we find clear evidence of contagion using dummy t-copula and two versions of time-varying t-copula.

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