Marcelo Brutti Righi, Paulo Sergio Ceretta, "Wavelet - Pair Copula Construction Inference for Financial Contagion," WSEAS Transactions on Business and Economics, vol. 11, pp. 648-662, 2014, DOI:
Marcelo Brutti Righi, Paulo Sergio Ceretta. Wavelet - Pair Copula Construction Inference for Financial Contagion.
WSEAS Transactions on Business and Economics. 2014;11:648-662.
WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 11, 2014
Wavelet - Pair Copula Construction Inference for Financial Contagion
Authors: ,
Abstract: In this paper we propose a Wavelet - Pair Copula Construction approach for contagion identification. The method consists in filtering past marginal dependence, performing multiscale decomposition in marginal residuals, and estimating a Pair Copula Construction for each frequency scale of interest. We carry out these steps with daily data from U.S., German, Brazilian and Hong Kong MSCI indices. The procedure is realized for non-crisis and crisis (sub-prime and Eurozone) periods. We find results that indicate a rising in association for most relationships, representing presence of contagion effect during Sub-prime and Eurozone crises.
Keywords:
Risk Analysis, Contagion, Wavelets, Pair Copula Construction, financial markets, dependence
Pages: 648-662 WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 11, 2014, Art. #60 DOI: *As the DOI is a unique identifier, it is already available in the pdf version.
**The DOI link will be activated in the first midst of January 2026.
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