Contagion and tail risk in complex financial networks
基于copula、厚尾分布和网络理论提出新的传染度量，研究2008年全球金融危机期间国际股市的传染效应，发现危机后传染风险仍高于危机前水平，且传染从核心向边缘扩散。
New contagion measures based on theories of copula, heavy-tailed distributions and networks are introduced. The measures are applied to study international stock markets contagion during the Global Financial Crisis 2008. Having declined post-crisis, the contagion risk remains above its pre-crisis level for both advanced and emerging economies. A sub-network analysis of contagion shows that the shock propagated mainly from core to periphery during the crisis. We propose an instrumental variable regression approach to deal with a potential endogeneity problem in the analysis of the contagion measures as determinants of tail risk. Endogeneity might arise as both contagion measures and tail indices are themselves estimated. The obtained results are statistically significant and suggest that more contagion-central countries tend to be less prone to tail risk.