Analysis of Financial Contagion Based on Change Point Testing of Archimedean Copula
Volume: 46, Issue: 3, Pages: 181 - 196
Published: Sep 1, 2008
Abstract
Analysis of financial contagion is considered to be one of the major issues in inter-national finance studies. Traditionally, dependence methods are adopted to verify the existence of financial contagion, which can only reflect partial characteristics of the relation between contagious countries and fail to offer a satisfactory determination of the contagious degree. In this paper, the existence of contagion is verified by Archimedean Copula...
Paper Details
Title
Analysis of Financial Contagion Based on Change Point Testing of Archimedean Copula
Published Date
Sep 1, 2008
Volume
46
Issue
3
Pages
181 - 196
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