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

Author:

Ye Wuyi,Liu Xiaoquan,Miao Baiqi

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference40 articles.

1. A new approach to measuring financial contagion;Bae;Review of Financial Studies,2003

2. Baig, T., Goldfajn, I., 1999. Financial Market Contagion in the Asian Crisis, IMF Staff Papers No. 46.

3. Market integration and contagion;Bekaert;Journal of Business,2005

4. Asymmetric volatility and risk in equity markets;Bekaert;Review of Financial Studies,2000

5. Boyer, B., Gibson, M., Loretan, M., 1999. Pitfalls in tests for changes in correlation. In: Board of Governors of the Federal Researve System, International Finance Discussion Paper No. 597.

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