Copula contagion index and its efficiency
AbstractA Copula Contagion Index (CCI) is established to measure financial contagion, based on the time-varying copula function. Empirical studies performed on the crisis spillover of US Subprime Mortgage Crisis demonstrate the efficiency of CCI. The empirical results from event study, change-point analysis, logitistic/probit regressions and the detection of the lead--lag relations by Baba, Engle, Kraft and Kroner (BEKK)-Vector Autoregressive (VAR)-Generalized Autoregressive Conditional Heteroscedastic (GARCH) model show that, the index is efficient in detecting the financial contagions. Sensitivity analysis indicates that the index is robust. Besides, empirical results indicate that the developed markets rather than the emerging markets suffered more severely and quickly from the US subprime mortgage crisis.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 22 (2012)
Issue (Month): 12 (June)
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.