Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches
作者： Syed Jawad Hussain Shahzad , Safwan Mohd Nor , Ronald Ravinesh Kumar , Walid Mensi
DOI: 10.1016/J.PHYSA.2016.09.008
关键词: Wavelet 、 Bond market 、 Financial crisis 、 iTraxx 、 Copula (linguistics) 、 Credit default swap 、 Actuarial science 、 Econometrics 、 Economics 、 Coherence analysis 、 Variational mode decomposition
摘要: Abstract This study examines the interdependence and contagion among US industry-level credit markets. We use daily data of 11 industries from 17 December 2007 to 31 2014 for time–frequency, namely, wavelet squared coherence analysis. The empirical analysis reveals that Basic Materials (Utilities) industry market has highest (lowest) with other industries. passes cyclical effect all little “shift-contagion” as defined by Forbes Rigobon (2002) is examined using elliptical Archimedean copulas on short-run decomposed series obtained through Variational Mode Decomposition (VMD). effects between markets mainly occurred during global financial crisis 2007–08.
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