Measuring contagion of subprime crisis based on MVMQ-CAViaR method

DOI10.1155/2014/386875MaRDI QIDQ2321389zbMATH OpenOpenAlexWikidataFDO

Authors Wuyi Ye, Kebing Luo, Shaofu Du

Publication date 23 August 2019

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/386875

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99)

Recommendations

• Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
• Application of variable structure pair copula model in the analysis of financial contagion
• A wavelet-based approach to test for financial market contagion
• Volatility contagion: a range-based volatility approach
• Analysis of sub-prime loan crisis contagion based on change-point testing method of FIDC model

Cites work

• scientific article; zbMATH DE number 5984107 (Why is no real title available?)
• A Three-Parameter Asymmetric Laplace Distribution and Its Extension
• A wavelet-based approach to test for financial market contagion
• ARCH modeling in finance. A review of the theory and empirical evidence
• Bayesian quantile regression
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Long Memory in Economics
• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
• Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
• Regression Quantiles
• Volatility spillovers, interdependence and comovements: a Markov switching approach

Cited in

(11)

• Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
• Markov regime-switching quantile regression models and financial contagion detection
• A wavelet-based approach to test for financial market contagion
• Transmission of the 2007–2008 financial crisis in advanced countries of the European Union
• Analysis of sub-prime loan crisis contagion based on change-point testing method of FIDC model
• Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
• Volatility contagion: a range-based volatility approach
• Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas
• Contagion and global financial crises: lessons from nine crisis episodes
• Contagion phenomena with applications in finance
• Application of variable structure pair copula model in the analysis of financial contagion

Describes a project that uses

Uses Software

• CAViaR

This page was built for publication: Measuring contagion of subprime crisis based on MVMQ-CAViaR method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2321389)