Cheng, Ke; Lu, Fengbin; Yang, Xiaoguang - In: Applied Financial Economics 22 (2012) 12, pp. 989-1002
A Copula Contagion Index (CCI) is established to measure financial contagion, based on the time-varying copula function. Empirical studies performed on the crisis spillover of US Subprime Mortgage Crisis demonstrate the efficiency of CCI. The empirical results from event study, change-point...