Ruiyang Ma and Jun Pu. Nonparametric Method Study Based on The Effects of Financial Risk Infection Related to Time Change. Dynamic Systems and Applications 29 (2020) No. 4, 1513 – 1525

https://doi.org/10.46719/dsa202029437

ABSTRACT.
This paper uses nonparametric estimation method to estimate four time-varying Copula function models, studies the existence of the contagion effect of the financial crisis between China and the United States and the United Kingdom financial markets before and after the global financial crisis in 2008, and finds that there is no significant change in the correlation structure between China and the United States and China in the financial crisis period.

Key words: Time-change correlation; Financial risk; Infectious effect; Nonparametric estimation method