Spillover effects and conditional dependence

Thierry Ané, Chiraz Labidi

Research output: Contribution to journalArticlepeer-review

14 Citations (Scopus)


A better understanding of cross-market linkages and interactions would help to better manage international financial exposure. So far, no attempt has been made to investigate the degree of price and volatility spillovers in a non-Gaussian conditional framework. We present a new model for these transmission mechanisms that relies on asymmetric-t marginal distributions and a copula function to characterize the conditional dependence. Rendering the dependence parameter time varying, we investigate how the dependence structure is affected by stock return innovations.

Original languageEnglish
Pages (from-to)417-442
Number of pages26
JournalInternational Review of Economics and Finance
Issue number4
Publication statusPublished - 2006
Externally publishedYes


  • Conditional dependence
  • Nonnormal multivariate distributions
  • Spillovers

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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