IDEAS home Printed from https://ideas.repec.org/a/hin/jnlmpe/209470.html
   My bibliography  Save this article

Analysis of Multiple Structural Changes in Financial Contagion Based on the Largest Lyapunov Exponents

Author

Listed:
  • Rui Wang
  • Xiaofeng Hui
  • Xuechao Zhang

Abstract

A modified multiple structural changes model is built to test structural breaks of the financial system based on calculating the largest Lyapunov exponents of the financial time series. Afterwards, the Lorenz system is used as a simulation example to inspect the new model. As the Lorenz system has strong nonlinearity, the verification results show that the new model has good capability in both finding the breakpoint and revealing the changes in nonlinear characteristics of the time series. The empirical study based on the model used daily data from the S&P 500 stock index during the global financial crisis from 2005 to 2012. The results provide four breakpoints of the period, which divide the contagion into four stages: stationary, local outbreak, global outbreak, and recovery period. An additional significant result is the obvious chaos characteristic difference in the largest Lyapunov exponents and the standard deviation at various stages, particularly at the local outbreak stage.

Suggested Citation

  • Rui Wang & Xiaofeng Hui & Xuechao Zhang, 2014. "Analysis of Multiple Structural Changes in Financial Contagion Based on the Largest Lyapunov Exponents," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-7, June.
    • Handle: RePEc:hin:jnlmpe:209470
    DOI: 10.1155/2014/209470
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/MPE/2014/209470.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/MPE/2014/209470.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2014/209470?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnlmpe:209470. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.