Nonparametric dependence modeling via cluster analysis: A financial contagion application-Reference-Cited by-同舟云学术

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Nonparametric dependence modeling via cluster analysis: A financial contagion application

Published:2019-02-10 Issue:2 Volume:50 Page:537-556
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Couto Ricardo¹,Duczmal Luiz H.²,Burgarelli Denise³,Álvares Felipe²,Moreira Gladston J. P.⁴^ORCID

Affiliation:

1. Department of Economics, IBMEC Business School, Rio de Janeiro, Brazil;

2. Department of Statistics, Federal University of Minas, Gerais, Brazil;

3. Department of Mathematics, Federal University of Minas, Gerais, Brazil;

4. Computing Department, Universidade Federal de Ouro Preto, Ouro Preto, Brazil

Funder

Brazilian agencies CAPES

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2018.1563152

Reference63 articles.

1. Asset pricing with liquidity risk

2. Nonlinear dynamics and recurrence plots for detecting financial crisis

3. Financial Contagion

4. Realized Volatility

5. Nonlinear Correlograms and Partial Autocorrelograms*

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3. Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient;Empirical Economics;2019-11-21

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