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

European Journal of Operational Research

Volumn 222, Issue 1, 2012, Pages 96-103

  Ye, Wuyi ^a   Liu, Xiaoquan ^b   Miao, Baiqi ^a  

^a UNIVERSITY OF SCIENCE AND TECHNOLOGY OF CHINA   (China)

^b UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

Archimedean copula functions; Change point tests; Credit crunch; Financial contagion; Risk management; Tail dependence

Indexed keywords

ARCHIMEDEAN COPULA; CHANGE-POINTS; CREDIT CRUNCH; FINANCIAL CONTAGION; TAIL DEPENDENCE;

FINANCE; RISK MANAGEMENT; STATISTICS;

COMMERCE;

EID: 84861830515     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2012.04.004     Document Type: Article

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