Contagion Effect Analysis of Financial Crisis in Soybean Futures Markets Based on Copula Functions

Jian Bao Chen; Ting Yang; Huo Biao Zhou

doi:10.4028/www.scientific.net/AMM.198-199.885

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 198-199Contagion Effect Analysis of Financial Crisis in...

Contagion Effect Analysis of Financial Crisis in Soybean Futures Markets Based on Copula Functions

Abstract:

Using five kinds of Copula functions to investigate the changes of correlations among soybean futures in Tokyo Grain Exchange, Chicago Board of Trade and Dalian Commodity Exchange market before and after the financial crisis caused by American subprime mortgage, this paper verifies the existence of contagion effect of this crisis in the international soybean futures markets.

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Periodical:

Applied Mechanics and Materials (Volumes 198-199)

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885-888

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.198-199.885

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Online since:

September 2012

Authors:

Jian Bao Chen, Ting Yang, Huo Biao Zhou

Keywords:

Contagion Effect, Copula Functions, GARCH Model

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