Extremal dependence tests for contagion
开发了一种基于极值依赖（共峰度和共波动率）变化的新检验方法，用于识别国际金融市场间冲击的传播机制，实证发现2008-2009年金融危机期间美国银行业通过共峰度和共波动率渠道向全球股市和银行业传播了显著的传染效应。
A new test for financial market contagion based on changes in extremal dependence defined as co-kurtosis and co-volatility is developed to identify the propagation mechanism of shocks across international financial markets. The proposed approach captures changes in various aspects of the asset return relationships such as cross-market mean and skewness (co-kurtosis) as well as cross-market volatilities (co-volatility). Monte Carlo experiments show that the tests perform well except for when crisis periods are short in duration. Small crisis sample critical values are calculated for use in this case. In an empirical application involving the global financial crisis of 2008–2009, the results show that significant contagion effects are widespread from the US banking sector to global equity markets and banking sectors through either the co-kurtosis or the co-volatility channels, reinforcing that higher order moments matter during crises.