Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches

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Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches

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作者：Syed Jawad Hussain Shahzad^a ; ^b ; ^{jawad.kazmi5@gmail.com" class="auth_mail" title="E-mail the corresponding author} ; Safwan Mohd Nor^a ; ^c ; ^{safwan@umt.edu.my" class="auth_mail" title="E-mail the corresponding author} ; Ronald Ravinesh Kumar^d ; ^e ; ^{kumar_RN@usp.ac.fj" class="auth_mail" title="E-mail the corresponding author} ; ^{ronaldkmr15@gmail.com" class="auth_mail" title="E-mail the corresponding author} ; Walid Mensi^f ; ^g ; ^{walid.mensi@fsegt.rnu.tn" class="auth_mail" title="E-mail the corresponding author}
关键词：Credit default swap ; Contagion ; Wavelet squared coherence ; Variational mode decomposition ; Copula
刊名：Physica A: Statistical Mechanics and its Applications
出版年：2017
出版时间：15 January 2017
年：2017
卷：466
期：Complete
页码：310-324
全文大小：5040 K

文摘

class="label">•: The interdependence between US credit markets is examined through wavelet squared coherence.
class="label">•: The little “shift-contagion” is analyzed using elliptical and Archimedean copulas on the short-run decomposed series through Variational Mode Decomposition (VMD).
class="label">•: The Basic Material (Utilities) industry credit market has the highest (lowest) interdependence with other industries.
class="label">•: Basic Materials credit market passes cyclical effects to the other industries.
class="label">•: Contagion effect between US industry-level credit markets occurred during the global financial crisis of 2007–08.

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