Dynamical interdependence analysis in the stock indices of the East Asian economies

摘要

The contagion of the financial crisis became more and more evident since 1990s. Numerous channels make the financial crisis contagion have notable nonlinear features. The traditional research are mostly based on the linear methods, which have limitation to investigate the nonlinear features. The dynamical interdependence analysis method in this paper is better than the linear methods to depict the nonlinear dynamical features of the financial crisis contagion.