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

Keyphrases

• Archimedean Copula Function 33%
• Asian Economies 33%
• Asian Markets 66%
• Banking Crisis 33%
• Change Point Analysis 100%
• China 33%
• Contagion 33%
• Copula Function 100%
• Crisis Contagion 100%
• Equity Indices 33%
• Event Reporting 33%
• Financial Contagion 100%
• Hong Kong 33%
• Index Returns 33%
• Japan 33%
• Market Events 33%
• Media Reports 33%
• Random Variables 33%
• S&P 500 66%
• Structural Change 33%
• Subprime Crisis 100%
• Tail Dependence Coefficient 33%
• Taiwan 66%
• Testing Method 33%
• Time of Change 33%
• Upper Tail Dependence 33%
• US Market 33%

Mathematics

• Archimedean 33%
• Change Point Analysis 100%
• Copula 100%
• Random Variable 33%
• Stock Market 33%
• Structural Change 33%

Economics, Econometrics and Finance

• Asian Economy 33%
• Contagion Effect 100%
• Structural Change 33%
• Time Series 33%