Horta, Paulo; Mendes, Carlos; Vieira, Isabel - Centro de Estudos e Formação Avançada em Gestão e … - 2008
This study assesses whether capital markets of developed countries reflect the effects of financial contagion from the … US subprime crisis and, in such case, if the intensity of contagion differs across countries. Adopting a definition of … contagion that relates the phenomenon to an increase of cross-market linkages following a shock, copula models are used to …