Financial Contagion Measures Based on Co-movements

This project aims to study various aspects related to the contagion of financial crisis between markets, including the improvements on contagion measures, test of the existence of contagion, and the application of contagion measures in portfolio diversification across markets. The contagion of financial crisis is defined as the phenomenon that there is a significant increase in the extend of extreme co-movement between market indexes when financial crisis occurs in one market. With this definition, this project is expected to provide a couple of ways to probabilistically improve contagion measures in existing literature. Moreover, in order to test whether financial contagion exists, non-parametric estimators for corresponding contagion measures as well as their statistical properties are also targets of this project. Last but not least, this project is expected to provide illustrations of the application of contagion measures in time series clustering and portfolio construction accordingly.

Faculty Supervisor:

Ricardas Zitikis

Student:

Partner:

Central University Of Finance and Economics

Discipline:

Mathematics

Sector:

Finance and Insurance

University:

Western University

Program: