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

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

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...

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Veröffentlicht in:Applied Mechanics and Materials 2012-09, Vol.198-199, p.885-888
Hauptverfasser: Zhou, Huo Biao, Chen, Jian Bao, Yang, Ting
Format: Artikel
Sprache:eng
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Zusammenfassung: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.
ISSN:1660-9336
1662-7482
1662-7482
DOI:10.4028/www.scientific.net/AMM.198-199.885