Contagion and tail risk in complex financial networks
(2022)
Journal Article
Abduraimova, K. (2022). Contagion and tail risk in complex financial networks. Journal of Banking and Finance, 143, Article 106560. https://doi.org/10.1016/j.jbankfin.2022.106560
New contagion measures based on theories of copula, heavy-tailed distributions and networks are introduced. The measures are applied to study international stock markets contagion during the Global Financial Crisis 2008. Having declined post-crisis,... Read More about Contagion and tail risk in complex financial networks.