A wavelet-based approach to test whether contagion occurred during the US subprime crisis of 27 is proposed. After separately identifying contagion and interdependence through wavelet decomposition of the original returns series, the presence of contagion is assessed using a simple graphical test based on non-overlapping confidence intervals of estimated wavelet coefficients in crisis and non-crisis periods. The results indicate that all stock markets have been affected by the US subprime crisis and that Brazil and Japan are the only countries in which contagion is observed at any scale.
Related Content
A hybrid approach by integrating wavelet-based feature extraction with MARS and SVR for stock index forecasting
Forecasting stock prices is a major activity of financial firms and private investors when they make investment decisions. Feature extraction is usually the first step of a stock price forecasting model development. Wavelet transform, used mainly for the extraction of information contained in sig...


Ensemble Forecasting of Value at Risk via Multi Resolution Analysis based Methodology in Metals Markets
Subject to shocks worldwide, the metals markets in the era of structural changes and globalization have seen a very competitive and volatile market environment. Proper risk measurement and management in the metals markets are of critical value to the investors belonging to different parts of the ...
A new method for mean-variance portfolio optimization with cardinality constraints
Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM) model, where the assets are limited with the introduction of quantity and cardinality c...


An Analysis of the Dependence Among Financial Markets by Spatial Contagion
Spatial contagion between two financial markets X and Y appears when there is more dependence between X and Y when they are doing badly than when they exhibit typical performance. In this paper, we introduce an index to measure the contagion effects. This tool is based on the use of suitable copu...
Wavelet based feature extraction of voltage profile for online voltage stability assessment using RBF neural network
Online voltage stability assessment is one of the vital requirements for intricate electric power systems. Due to the restructuring and liberalization, modern power systems tend to operate close to their stability limits with small security margin. In such environment, online voltage stability ev...

Multi-objective evolutionary algorithms for financial portfolio design
Efficient portfolio design is a real challenge in the area of computational finance. Optimisation based on Markowitz (1959) two-objective mean-variance approach is computationally expensive for real financial world. Practical portfolio design introduces further complexity as it requires the optim...
Dynamic analysis of a global supply chain using system dynamics approach
Supply chain management (SCM) plays a vital role in the growth of the industry, survival in the market, in the production rate and the dynamic interaction among the suppliers and customers. This paper analyses a supply chain model and the dynamic interaction between its variables using system dyn...

Pressure vessel state investigation based upon least squares support vector machine
Due to the remarkable time-frequency property obtained from the wavelet packet and the excellent generalization ability derived from the least squares support vector machine (LS-SVM), a novel approach is proposed, which focuses on the research on state detects of the pressure vessels. The minimum...
Taylor Prediction for Mesh Geometry Compression
In this paper, we introduce a new formalism for mesh geometry prediction. We derive a class of smooth linear predictors from a simple approach based on the Taylor expansion of the mesh geometry function. We use this method as a generic way to compute weights for various linear predictors used for...

An Efficient Stochastic Simulation Algorithm for Bayesian Unit Root Testing in Stochastic Volatility Models
In financial times series analysis, unit root test is one of the most important research issues. This paper is aimed to propose a new simple and efficient stochastic simulation algorithm for computing Bayes factor to detect the unit root of stochastic volatility models. The proposed algorithm is ...