scientific article; zbMATH DE number 7028962

MaRDI QIDQ4624757zbMATH OpenFDO

Authors Wuyi Ye, Xiaowen Dong, Baiqi Miao

Publication date 22 February 2019

zbMATH Keywords

c-D-copulachange-point testfinancial infectionlinkage analysis

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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(5)

• 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
• The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
• Empirical analysis on the dependence structure of international stock markets using copula methods
• Analysis of sub-prime loan crisis contagion based on change-point testing method of FIDC model

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