资源描述：
《copula contagion index and its efficiency》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、Thisarticlewasdownloadedby:[USCUniversityofSouthernCalifornia]On:18November2012,At:01:55Publisher:RoutledgeInformaLtdRegisteredinEnglandandWalesRegisteredNumber:1072954Registeredoffice:MortimerHouse,37-41MortimerStreet,LondonW1T3JH,UKAppliedFinancialEconomicsPublicationdetails,inc
2、ludinginstructionsforauthorsandsubscriptioninformation:http://www.tandfonline.com/loi/rafe20CopulacontagionindexanditsefficiencyaaaKeCheng,FengbinLu&XiaoguangYangaAcademyofMathematicsandSystemsScience,ChineseAcademyofSciences,Beijing100190,ChinaVersionofrecordfirstpublished:07Feb2
3、012.Tocitethisarticle:KeCheng,FengbinLu&XiaoguangYang(2012):Copulacontagionindexanditsefficiency,AppliedFinancialEconomics,22:12,989-1002Tolinktothisarticle:http://dx.doi.org/10.1080/09603107.2011.633889PLEASESCROLLDOWNFORARTICLEFulltermsandconditionsofuse:http://www.tandfonline.c
4、om/page/terms-and-conditionsThisarticlemaybeusedforresearch,teaching,andprivatestudypurposes.Anysubstantialorsystematicreproduction,redistribution,reselling,loan,sub-licensing,systematicsupply,ordistributioninanyformtoanyoneisexpresslyforbidden.Thepublisherdoesnotgiveanywarrantyex
5、pressorimpliedormakeanyrepresentationthatthecontentswillbecompleteoraccurateoruptodate.Theaccuracyofanyinstructions,formulae,anddrugdosesshouldbeindependentlyverifiedwithprimarysources.Thepublishershallnotbeliableforanyloss,actions,claims,proceedings,demand,orcostsordamageswhatsoe
6、verorhowsoevercausedarisingdirectlyorindirectlyinconnectionwithorarisingoutoftheuseofthismaterial.AppliedFinancialEconomics,2012,22,989–1002CopulacontagionindexanditsefficiencyKeCheng,FengbinLuandXiaoguangYang*AcademyofMathematicsandSystemsScience,ChineseAcademyofSciences,Beijing1
7、00190,ChinaACopulaContagionIndex(CCI)isestablishedtomeasurefinancialcontagion,basedonthetime-varyingcopulafunction.EmpiricalstudiesperformedonthecrisisspilloverofUSSubprimeMortgageCrisisdemonstratetheefficiencyofCCI.Theempiricalresultsfromeventstudy,change-pointanalysis,logitistic
8、/probitregressionsandthedetection
