Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison
Book section: The aim of this chapter is to dsicuss the contagionbetween the financial sphere and the real sphere. We define the concept of contagion, then we introduce some parametric models used to detect the contagion phenomenum, then we introduce some non-parametric tools focusing on copulas. Interdependence between national economies is investigated through these tools. Finally we investigate the interdependence between the financial and the real spheres.
Author(s)
Dominique Guegan
Publisher(s)
- NOVA publishers
Scientific editor(s)
- Catherine Kyrtsou, Costas Vorlow
Title of the work
- Progress in financial market research
Date of publication
- 2011
Keywords
- Contagion
- Setar
- Markov switching
- Copulas
- Real sphere
- Financial sphere
Pages
- 233-254
URL of the HAL notice
Version
- 1