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1、EuropeanJournalofOperationalResearch222(2012)96–103ContentslistsavailableatSciVerseScienceDirectEuropeanJournalofOperationalResearchjournalhomepage:www.elsevier.com/locate/ejorStochasticsandStatisticsMeasuringthesubprimecrisiscontagion:Evidenceofchangepointanalysisofcopulafunctionsab
2、,⇑aWuyiYe,XiaoquanLiu,BaiqiMiaoaDepartmentofStatisticsandFinance,UniversityofScienceandTechnologyofChina,Hefei,PRChinabEssexBusinessSchoolandEssexFinanceCentre,UniversityofEssex,ColchesterCO43SQ,UKarticleinfoabstractArticlehistory:Inthispaper,wefirstdeterminetheexistenceofstructuralch
3、angesinthedependencebetweentimeser-Received2May2011iesofequityindexreturnsoftwomarketsusingthechangepointtestingmethod.ThemethodisbasedonAccepted2April2012Archimedeancopulafunctions,whichareabletocomprehensivelydescribedependencecharacteristicsAvailableonline20April2012ofrandomvariab
4、les.Thedegreeoffinancialcontagionbetweenmarketsissubsequentlyestimatedusingthetaildependencecoefficientofcopulafunctionsbeforeandafterthechangepoint.WeempiricallytestKeywords:ourmethodbyinvestigatingfinancialcontagionduringthesubprimecrisisbetweentheUSS&P500Financialcontagionindexandfive
5、Asianmarkets,namelyChina,Japan,Korea,HongKongandTaiwan.OurresultsshowthatArchimedeancopulafunctionsastatisticallysignificantchangepointexistsinthedependencebetweentheUSmarketandallAsianTaildependenceChangepointtestsstockmarketsexceptTaiwan.Theuppertaildependenceislargerafterthetimeofc
6、hange,implyingCreditcrunchtheexistenceofcontagionduringthebankingcrisisbetweentheUSandtheAsianeconomies.ThedegreeRiskmanagementoffinancialcontagionisalsoestimatedandfoundtobeconsistentwithmarketeventsandmediareportsduringthatperiod.Ó2012ElsevierB.V.Allrightsreserved.1.IntroductionMexi
7、candevaluation,andtheEastAsiancrisis,ForbesandRigobon(2002)donotfindevidenceofcorrelationbreakdown.EquitymarketsofindividualcountriesareinevitablylinkedandMorerecently,modelingdependencewithcopulafunctionshastendtoco-varybecauseofglobalizationandtheflowofcapitalandattractedincreasingat
8、tentioninthe