| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481275 | Physica A: Statistical Mechanics and its Applications | 2013 | 12 Pages |
Abstract
⺠We analyze the correlation structure of the CDS spread and the influence of the subprime crisis on it. ⺠Clusters based on the continent criteria are well constructed. ⺠Correlation both inside clusters and between clusters became stronger after the subprime crisis. ⺠Causality test shows the direction of the lead lag effect between portfolios. ⺠The effect of single shock increases and response time relaxation became prolonged after the crisis.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Sangwook Lee, Min Jae Kim, Sun Young Lee, Soo Yong Kim, Joon Hwa Ban,