Detecting financial contagion using a new nonparametric measure of comovements

[视频作者] _无理娶闹

[视频时长] 69:39

[视频类型] 校园学习

2022年07月16日 西安交通大学 张飞鹏教授 This article proposes a new nonparametric test to detect financial contagion by using a Kendall’s tau-based asymmetric measure of comovements between two time series. Simulation studies demonstrate the reasonable size performance