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Synergies of Soft Computing and Statistics for Intelligent Data Analysis pp 313–320Cite as

A Spatial Contagion Test for Financial Markets

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Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 190))

Abstract

By using some ideas recently introduced by Durante and Jaworski, we present a test for spatial contagion among financial markets. This test is based on a comparison between threshold copulas associated with a given pair of random variables representing two financial markets. Moreover, the described methodology is used in order to check the presence of contagion among European markets in the recent financial crisis.

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References

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Author information

Authors and Affiliations

  1. School of Economics and Management, Free University of Bozen–Bolzano, Bolzano, Italy

    Fabrizio Durante & Enrico Foscolo

  2. Department of Mathematics and Constructive Geometry, Slovak University of Technology, Bratislava, Slovakia

    Miroslav Sabo

Authors
  1. Fabrizio Durante
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  2. Enrico Foscolo
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  3. Miroslav Sabo
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Corresponding author

Correspondence to Fabrizio Durante .

Editor information

Editors and Affiliations

  1. Faculty of Computer Science, Otto-von-Guericke University of Magdebur, Geb. 29, Raum 008, Universitätsplatz 2, Magdeburg, 39106, Germany

    Rudolf Kruse

  2. , FB Informatik & Informationswissenschaft, University of Konstanz, Konstanz, 78457, Germany

    Michael R. Berthold

  3. of Magdeburg, Faculty of Computer Science, Otto-von-Guericke University, Geb. 29, Universitätsplatz 2 008, Magdeburg, 39106, Germany

    Christian Moewes

  4. , Department of Statistics and OR, University of Oviedo, C/ Calvo Sotelo, s/n, Oviedo, 33007, Spain

    María Ángeles Gil

  5. Systems Research Institute, Polish Academy of Sciences, Newelska 6, Warsaw, 01-447, Poland

    Przemysław Grzegorzewski

  6. Systems Research Institute, Polish Academy of Sciences, Newelska 6, Warsaw, 01-447, Poland

    Olgierd Hryniewicz

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© 2013 Springer-Verlag Berlin Heidelberg

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Durante, F., Foscolo, E., Sabo, M. (2013). A Spatial Contagion Test for Financial Markets. In: Kruse, R., Berthold, M., Moewes, C., Gil, M., Grzegorzewski, P., Hryniewicz, O. (eds) Synergies of Soft Computing and Statistics for Intelligent Data Analysis. Advances in Intelligent Systems and Computing, vol 190. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33042-1_34

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  • DOI: https://doi.org/10.1007/978-3-642-33042-1_34

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-33041-4

  • Online ISBN: 978-3-642-33042-1

  • eBook Packages: EngineeringEngineering (R0)

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