Analysis of Financial Contagion Based on Change Point Testing of Archimedean Copula

10.29973/JCSA.200809.0002

Wu-Yi Ye；Bai-Qi Miao

Archimedean Copula ； change point testing ； financial contagion ； tail-dependence coefficient

中國統計學報

46卷3期（2008 / 09 / 01）

181 - 196

英文

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 change point testing method, by which a more comprehensive analysis of dependent character is conducted, and the contagious degree can be measured by tail dependence. The last part of the paper focuses on an empirical analysis of financial contagion of several Asian indexes.

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