Work

How to Estimate Spatial Contagion between Financial Markets

Year: 2005

Type: preprint

Abstract: A definition of contagion between financial markets based on local correlation was introduced in Bradley and Taqqu (2004) and a test for contagion was proposed. For the test to be implemented, local correlation must be estimated. This paper describes an estimation procedure based on nonparametric local polynomial regression. The procedure is illustrated on the US and French equity market data.

Source: SSRN Electronic Journal

Authors: Brendan Bradley, Murad S. Taqqu

Institution: Boston University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2183661288

Cites: 10

Cited by: 25

Related to: 10