A wavelet-based approach to test for financial market contagion

摘要: A wavelet-based approach to test whether contagion occurred during the US subprime crisis of 2007 is proposed. After separately identifying and interdependence through wavelet decomposition original returns series, presence assessed using a simple graphical based on non-overlapping confidence intervals estimated coefficients in non-crisis periods. The results indicate that all stock markets have been affected by Brazil Japan are only countries which observed at scales.