A spatial contagion measure for financial time series

作者：

Highlights：

• A measure of spatial contagion for financial markets is introduced.

• The measure describes the extreme correlation among markets.

• Numerical algorithms are provided for the calculation of the proposed measure.

• Applications to the study of financial networks and clusters are presented.

摘要

•A measure of spatial contagion for financial markets is introduced.•The measure describes the extreme correlation among markets.•Numerical algorithms are provided for the calculation of the proposed measure.•Applications to the study of financial networks and clusters are presented.

论文关键词：Contagion,Copula,Cluster analysis,Financial time series,Risk management

论文评审过程：Available online 29 December 2013.

论文官网地址：https://doi.org/10.1016/j.eswa.2013.12.020