The complex nature of the interlacement of economic actors is quite evident at the level of
the Stock market, where any company may actually interact with the other companies buying …

This paper assesses evidence of the linkages and contagion among important stock markets
in Latin America (Brazil, Mexico and Argentina), Europe (UK and Germany), Asia (Japan …

In this work, we focus on the cross-shareholding structure in financial markets. Specifically,
we build ad hoc indices of concentration and control by employing a complex network …

In this paper we estimate the dependence structure between economic sectors in the
Brazilian financial market through Pair Copula Construction. We use daily data from indices …

An intensive analysis of the dependence structure among stock markets is invaluable to
financial experts, policy makers, and academic researchers, providing them with important …

The copula function defines the degree of dependence and the structure of dependence.
This paper proposes an alternative framework to decompose the dependence using …

A method is proposed for defining and investigating spatial contagion between two financial
markets X and Y by using the information contained in their copula. A practical illustration of …

The growing interdependence between financial markets has attracted special attention
from academic researchers and finance practitioners for the purpose of optimal portfolio …

Using the concept of a copula, this paper shows how to estimate association across financial
markets, with a focus on the structure of dependence rather than the degree of dependence …

We assess the extent of integration between stock markets during stressful periods using the
concept of copulas. Our methodology consists of fitting copulas to simultaneous …