Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions

• Published in: European journal of operational research Vol. 222; no. 1; pp. 96 - 103
• Main Authors: Ye, Wuyi, Liu, Xiaoquan, Miao, Baiqi
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier B.V 01.10.2012; Elsevier; Elsevier Sequoia S.A
• Subjects: Applied sciences; Archimedean copula functions; Change point tests; Credit crunch; Economic crisis; Exact sciences and technology; Financial contagion; Inference from stochastic processes; time series analysis; Initiatives; Manycountries; Mathematical functions; Mathematics; Operational research and scientific management; Operational research. Management science; Portfolio theory; Probability and statistics; Random variables; Rates of return; Risk management; Risk theory. Actuarial science; Sciences and techniques of general use; Statistics; Stock exchanges; Studies; Tail dependence; Test methods; Hong Kong; Asia; China; Change point tests; Archimedean copula functions; Financial contagion; Tail dependence; Credit crunch; Risk management; Contagion; Statistical analysis; Time series; Banking; Equity; Financial market; Change point; Market survey; Risk analysis; Notation; Time dependence; Credit; Economy; Stock exchange; Copula theory; Stock markets; Random variable; Economic crisis

► We use the change point testing method to determine the existence of financial contagion. ► We adopt copula upper tail dependence coefficient as measure of the degree of contagion. ► We investigate contagion during the credit crunch between the US and five Asian markets. In this paper, we first de...