Beschreibung
The book is the first attempt to analyze the phenomenon of financial contagion during the global crisis that started in 2007. Estimation procedure is based on time-varying copula models of daily return rates of seven world stock markets during 2005-2009. Copula functions are applied to investigate the impact of the global financial crisis on the dependence measures between international markets. The relation between the effect strength and trend characteristics is also examined. The results indicate upward shift of constant correlation parameters and significant change of the coefficients describing the behaviour of dependence parameters.
Autorenporträt
is a researcher and Ph.D. student at the National University "Kyiv-Mohyla Academy", Ukraine. Education: B.A. in Finance, Belarusian State University, Minsk (2003), M.A. in Economics, Kiev School of Economics, Ukraine (2009). Working experience: the National Bank of the Republic of Belarus (Minsk), Citibank (Kiev, Ukraine).
Herstellerkennzeichnung:
BoD - Books on Demand
In de Tarpen 42
22848 Norderstedt
DE
E-Mail: info@bod.de
