JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2016, Vol. 51 ›› Issue (6): 104-110.doi: 10.6040/j.issn.1671-9352.4.2015.001

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Application of variable structure pair copula model in the analysis of financial contagion

LIU Kun-lun   

  1. Department of Mathematics, Qilu Normal University, Jinan 250200, Shandong, China
  • Received:2015-01-21 Online:2016-06-20 Published:2016-06-15

Abstract: This paper constructed the variable structure pair copula model by using the methods of the diagnosis of the structure change points and pair copula model for the research of the contagion effect of subprime crisis. In the empirical analysis we choose to asset stocks portfolio composed by standard & poors 500 index, the Shanghai composite index, the nikkei 225 index and the financial times ordinary shares 100 index. We diagnose the variable structure of the yield rate of the stock.And we make the estimate parameter of the pair copula-GARCH(1,1)-t model. By the calculated results of the parameter θ and VaR, we elaborate the influence of the USA subprime mortgage crisis to China, Japan and Britain from the mathematical angle. The paper has the certain model function to the research of financial contagion.

Key words: pair copula model, GARCH model, value at risk, financial Contagion, variable structure

CLC Number: 

  • F830
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