Testing of Financial Contagion and Analysis of Contagious Degree Based on Quantile Regression Model

摘要：

The analysis of financial contagion has been an important problem in international finance field, in order to test financial contagion, the dependence method is usually adopted. However, all those methods can only test the existence of the contagion, and can not give the contagious degree. In this paper, the existence of contagion was tested by the change point testing of quantile regression model, and the contagious degree was given simultaneously. At last, the empirical analysis of financial contagion of several Asian indexes was given.

关键词： Quantile Regression Model Change Point Financial Contagion

作者: 叶五一 缪柏其

作者单位: 中国科学技术大学统计与金融系,安徽合肥,230026

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）