Financial Contagion from the Subprime Crisis: A Copula Approach

Financial Contagion from the Subprime Crisis: A Copula Approach

The magnitude of the subprime crisis effects caused recessions in several economies, giving rise to the global financial crisis. The scale of this major shock and the different recovery profiles of European economies motivated this paper. The main objective is to look for evidence of contagion betwe...

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Bibliographic Details
Main Authors: Rita I.L. Mendes, Luís Gomes, Patrícia Ramos
Format: Article
Language:English
Published: Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house 2022-12-01
Series:Scientific Annals of Economics and Business
Subjects:
financial contagion
financial markets
subprime crisis
; copulas
arma-garch.
Online Access:http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1726

Internet

http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1726

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