Financial market openness and risk contagion: A time-varying Copula approach
基于时变Copula的金融开放与风险传染

The paper proposes a time-varying Copula to study financial contagion issues between China mainland and major international stock markets in the opening process of Chinese capital markets.By modeling marginal distributions as AR(1)-GJR(1,1)-t and dependence relations as time-varying SJC Copula, the paper analyzes time-varying co-movements between China mainland and US,UK,Japan,HK stock markets in the interval from Jan 2000 to Nov 2010.The empirical results show that:the lower-tail dependence with US,UK and ...