Contagion and tail risk in complex financial networks

New contagion measures based on theories of copula, heavy-tailed distributions and networks are introduced. The applied to study international stock markets during the Global Financial Crisis 2008. Having declined post-crisis, risk remains above its pre-crisis level for both advanced emerging economies. A sub-network analysis shows that shock propagated mainly from core periphery crisis. We propose an instrumental variable regression approach deal with a potential endogeneity problem in as determinants tail risk. Endogeneity might arise indices themselves estimated. obtained results statistically significant suggest more contagion-central countries tend be less prone