Contagion determination via copula and volatility threshold models

References

• Bernardo , JM and Smith , AFM . 1994 . Bayesian Theory , New York : Wiley .
   Google Scholar
• Bouye , E , Durrleman , V , Nikeghabali , A , Riboulet , G and Roncalli , T . Copulas for finance: A reading guide and some applications . Working Paper, Credit Lyonnais, 2000 ,
   Google Scholar
• Caporale , GM , Cipollini , A and Spagnolo , N . 2005 . Testing for contagion: a conditional correlation analysis . J. Empir. Finance , 12 : 476 – 489 .
   Google Scholar
• Clayton , DG . 1978 . A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence . Biometrika , 65 : 141 – 151 .
   Web of Science ®Google Scholar
• Dellaportas , P , Denison , DGT and Holmes , CC . 2007 . Flexible threshold models for modelling interest rate volatility . Econometr. Rev. , 26 : 419 – 437 .
   Web of Science ®Google Scholar
• Dellaportas , P , Forster , JJ and Ntzoufras , I . 2002 . On Bayesian model and variable selection using MCMC . Statist. Comput. , 12 : 27 – 36 .
   Web of Science ®Google Scholar
• Dellaportas , P and Roberts , GO . 2003 . “ An introduction to MCMC ” . In Spatial Statistics and Computational Methods , Edited by: Muller , J . 1 – 42 . New York : Springer .
   Google Scholar
• Denison , DGT , Holmes , CC , Mallick , BK and Smith , AFM . 2002 . Bayesian Methods for Nonlinear Classification and Regression , New York : Wiley .
   Google Scholar
• Denison , DGT , Mallick , BK and Smith , AFM . 1998 . Automatic Bayesian curve fitting . J. R. Statist. Soc. B , 60 : 333 – 350 .
   Google Scholar
• Dias , A and Embrechts , P . 2004 . “ Change-point analysis for dependence structures in finance and insurance ” . In Risk Measures for 21st Century , Edited by: Szegoe , G . 321 – 335 . New York : Wiley .
   Google Scholar
• Embrechts , P , McNeil , AJ and Straumann , D . 2002 . “ Correlation and dependence in risk management: properties and pitfalls ” . In Risk Management: Value at Risk and Beyond , Edited by: Dempster , M . 176 – 223 . Cambridge : Cambrigde University Press .
   Google Scholar
• Embrechts , P , Lindskog , F and McNeil , AJ . 2003 . “ Modelling dependence with copulas and applications to risk management ” . In Handbook of Heavy Tailed Distributions in Finance , Edited by: Rachev , S . 329 – 384 . Amsterdam : Elsevier .
   Google Scholar
• Forbes , KJ and Rigobon , R . 2002 . No contagion, only interdependence: Measuring stock markets comovements . J. Finance , 57 : 2223 – 2261 .
   Web of Science ®Google Scholar
• Frank , MJ . 1979 . On the simultaneous associativity of F(x, y) and x + y − F(x, y) . Aequationes Mathematicae , 19 : 194 – 226 .
   Google Scholar
• Freedman , DA . 1983 . A note on screening regression equations . Am. Statist. , 37 : 152 – 155 .
   Web of Science ®Google Scholar
• Green , PJ . 1995 . Reversible jump Markov chain Monte Carlo computation and Bayesian model determination . Biometrika , 82 : 711 – 732 .
   Web of Science ®Google Scholar
• Gumbel , EJ . 1960 . Distributions des valeurs extrêmes en plusiers dimensions . Publ. Inst. Statist. Univ. Paris , 9 : 171 – 173 .
   Google Scholar
• Hamilton , JD and Susmel , R . 1994 . Autoregressive conditional heteroskedasticity and changes in regime . J. Econometr. , 64 : 307 – 333 .
   Web of Science ®Google Scholar
• Hougaard , P . 1986 . A class of multivariate failure time distibutions . Biometrika , 73 : 671 – 678 .
   Web of Science ®Google Scholar
• Joe , H . 1997 . Multivariate Models and Dependence Concepts , London : Chapmann & Hall .
   Google Scholar
• Kass , RE and Raftery , AE . 1995 . Bayes factors . J. Am. Statist. Assoc. , 90 : 773 – 795 .
   Web of Science ®Google Scholar
• Kass , RE and Wassermann , L . 1996 . The selection of prior distribution by formal rules . J. Am. Statist. Assoc. , 91 : 1343 – 1370 .
   Web of Science ®Google Scholar
• King , MA and Wadhwani , S . 1994 . Transmission of volatility between stock markets . Rev. Financial Stud. , 3 : 5 – 33 .
   Web of Science ®Google Scholar
• Mashal , R and Zeevi , A . Beyond correlation: Extreme co-movements between financial assets. Technical report, Columbia University, 2002
   Google Scholar
• Nelsen , RB . 1999 . An Introduction to Copulas , New York : Springer .
   Google Scholar
• Newey , W and McFadden , D . 1994 . “ Large sample estimation and hypothesis testing ” . In Handbook of Econometrics, vol. IV, chapt. 30 , Edited by: Engle , R and McFadden , D . 2113 – 2245 . Amsteram : Elsevier .
   Google Scholar
• Patton , A . 2006 . Modelling asymmetric exchange rate dependence . Int. Econ. Rev. , 47 : 527 – 556 .
   Web of Science ®Google Scholar
• Rodriguez , JC . 2007 . Measuring financial contagion: a copula approach . J. Empir. Finance , 14 : 401 – 423 .
   Google Scholar
• Tong , H . 1983 . Threshold Models in Nonlinear Time Series Analysis , Heidelberg : Springer .
   Google Scholar