Measuring financial contagion: A Copula approach

摘要: Abstract This paper models dependence with switching-parameter copulas to study financial contagion. Using daily returns from five East Asian stock indices during the crisis, and four Latin American Mexican it finds evidence of changing periods turmoil. Increased tail asymmetry characterize countries, while symmetry independence describe case. Structural breaks in are a dimension contagion phenomenon. Therefore, rejection correlation breakdown hypothesis should not be considered, without further investigation, as stable structure.