Chinese Journal of Management Science ›› 2009, Vol. 17 ›› Issue (3): 1-7.
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YE Wu-yi, MIAO Bai-qi
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Abstract: The analysis of financial contagion is always an important problem in international finance field. When testing the existence of financial contagion,the dependence method is usually adopted.However,all those methods can only reflect partial relation among contagious countries,and can not give the contagious degree. In this paper,the existence of contagion is verified by Archimedean Copula change point testing method,by which the dependent character can be described more generally,and the tail dependence is considered as the representation of the contagious degree. At last,an empirical analysis of financial contagion of sub-prime Loan Crisis between indexes of five main countries (or regions) and S &P500 index is presented.
Key words: Sub-Prime Loan Crisis, Archimedean Copula change point testing, financial contagion, tail-dependence coefficient
CLC Number:
F830.9
YE Wu-yi, MIAO Bai-qi. Analysis of Sub-Prime Loan Crisis Contagion Based on Change Point Testing Method of Copula[J]. Chinese Journal of Management Science, 2009, 17(3): 1-7.
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