Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
type: Item
instance of: scholarly article
title: Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
zbMATH Open document ID: 1253.91186
author: Wuyi Ye
author: Xiaoquan Liu
author: Baiqi Miao
published in: European Journal of Operational Research
publication date: 2012-12-29T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6119490
zbMATH Keywords: financial contagion
zbMATH Keywords: Archimedean copula functions
zbMATH Keywords: tail dependence
zbMATH Keywords: change point tests
zbMATH Keywords: credit crunch
zbMATH Keywords: risk management
MaRDI profile type: Publication
full work available at URL: j.ejor.2012.04.004
OpenAlex ID: W2031298242
cites work: Q3412547
cites work: Comments on: Inference in multivariate Archimedean copula models
cites work: Autoregressive conditional heteroskedasticity and changes in regime
cites work: A simple general approach to inference about the tail of a distribution
cites work: Q4382161
cites work: Fitting bivariate loss distributions with copulas
cites work: An introduction to copulas. Properties and applications
cites work: Multivariate cointegration analysis of the Finnish-Japanese stock markets
cites work: Structural change tests in tail behaviour and the Asian crisis
cites work: Q3336431
cites work: Measures of risk
cites work: Q3948492
cites work: Contagion around the October 1987 stock market crash
DOI: 10.1016/J.EJOR.2012.04.004
description: scientific article; zbMATH DE number 6119490