Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis

This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant evidence of...

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Bibliographic Details
Main Author: Mothi, Wahbeeah (author)
Other Authors: Dionísio, Andreia (author), Vieira, Isabel (author), Ferreira, Paulo (author)
Format: article
Language:por
Published: 2020
Subjects:
copula models
financial contagion
financial crisis
frontier markets
Online Access:http://hdl.handle.net/10174/26305
Country:Portugal
Oai:oai:dspace.uevora.pt:10174/26305

Internet

http://hdl.handle.net/10174/26305

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