Copula based Change Point Detection for Financial Contagion in Chinese Banking

In this paper, a change point detection approach based on copula with two notable advantages is put forward. One is that the approach can deal with the common but special unbalanced panel data. The other is that it can detect multiple change points. Firstly, a proper copula that most accurately describes the dependence structure of the data is chosen. Then, the chosen copula is fitted to the data dynamically by adding new data. Finally, the...