Change point detection for subprime crisis in American banking: From the perspective of risk dependence

The subprime crisis has received great attention in academic research but there is no consensus on when the crisis started and when it ended. Previous researchers have only mentioned their subjective judgments in related papers and well-accepted change point detection methods are not available. So the objective of this paper is to propose a multiple change point detection approach from the perspective of risk dependence by using copula function....