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dc.contributor.authorDurante, F
dc.contributor.authorFoscolo, E
dc.contributor.authorJaworski, P
dc.contributor.authorWang, H
dc.date.accessioned2015-06-10T14:35:16Z
dc.date.available2015-06-10T14:35:16Z
dc.date.issued2014
dc.identifier.issn0957-4174
dc.identifier.urihttp://dx.doi.org/10.1016/j.eswa.2013.12.020
dc.identifier.urihttp://hdl.handle.net/10863/466
dc.description.abstractA novel spatial contagion measure is proposed that is based on the calculation of suitable conditional Spearman’s correlations extracted from the financial time series of interest. Algorithms for the numerical estimation of this measure are illustrated, together with a simulation study showing its features in relations with popular families of copulas. Finally, two applications are presented about the use of spatial contagion measure for determining (asymmetric) linkages in the financial systems, and creating clusters of financial time series. In particular, contrarily to previous approaches in the literature, such clusters identify which time series increase their (positive) associative when the market is under distress. The presented methodology is also expected to be useful to select a diversified portfolio of asset returns.en_US
dc.publisherElsevieren_US
dc.titleA spatial contagion measure for financial time seriesen_US
dc.typeArticleen_US
dc.date.updated2014-07-23T11:42:24Z
dc.language.isiEN-GB
dc.journal.titleExpert Systems with Applications
dc.description.fulltextnoneen_US


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