financial contagion is modelled by means of hierarchical Archimedean copulas (HAC) for the US, the German and the Japanese stock market. The time-varying nature of the copula parameters is induced by adopting the local parametric approach introduced in Spokoiny (1998).testing procedure underlying this approach are simulated on the basis of some predefined copula parameter constellations.

Filename	Size	Update
Time-varying-HAC-master	0	2016-01-09
Time-varying-HAC-master\COPRollingBIC	0	2016-01-09
Time-varying-HAC-master\COPRollingBIC\BIC	192456	2016-01-09
Time-varying-HAC-master\COPRollingBIC\COPRollingBIC.R	1473	2016-01-09
Time-varying-HAC-master\COPRollingBIC\COPRollingBIC.png	9197	2016-01-09
Time-varying-HAC-master\COPRollingBIC\README.md	2877	2016-01-09
Time-varying-HAC-master\COPRollingBIC\dates	141712	2016-01-09
Time-varying-HAC-master\COPRollingBIC\metainfo.txt	833	2016-01-09
Time-varying-HAC-master\COPRollingcorr	0	2016-01-09
Time-varying-HAC-master\COPRollingcorr\COPRollingcorr.R	2577	2016-01-09
Time-varying-HAC-master\COPRollingcorr\COPRollingcorr1.png	6821	2016-01-09
Time-varying-HAC-master\COPRollingcorr\COPRollingcorr2.png	6956	2016-01-09
Time-varying-HAC-master\COPRollingcorr\README.md	3745	2016-01-09
Time-varying-HAC-master\COPRollingcorr\dates	141712	2016-01-09
Time-varying-HAC-master\COPRollingcorr\eps	160062	2016-01-09
Time-varying-HAC-master\COPRollingcorr\metainfo.txt	560	2016-01-09
Time-varying-HAC-master\COPlcpcompcv	0	2016-01-09
Time-varying-HAC-master\COPlcpcompcv\Acv	272076	2016-01-09
Time-varying-HAC-master\COPlcpcompcv\Bcv	267064	2016-01-09
Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv.R	1696	2016-01-09
Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv1.png	5228	2016-01-09
Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv2.png	3660	2016-01-09
Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv3.png	3503	2016-01-09
Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv4.png	3214	2016-01-09
Time-varying-HAC-master\COPlcpcompcv\README.md	2913	2016-01-09
Time-varying-HAC-master\COPlcpcompcv\metainfo.txt	554	2016-01-09
Time-varying-HAC-master\COPlcpcompcv\qx	1421	2016-01-09
Time-varying-HAC-master\COPlcpdiffMLI	0	2016-01-09
Time-varying-HAC-master\COPlcpdiffMLI\AGumbel	134992	2016-01-09
Time-varying-HAC-master\COPlcpdiffMLI\BGumbel	143992	2016-01-09
Time-varying-HAC-master\COPlcpdiffMLI\COPlcpdiffMLI.R	1961	2016-01-09
Time-varying-HAC-master\COPlcpdiffMLI\COPlcpdiffMLI.png	4984	2016-01-09
Time-varying-HAC-master\COPlcpdiffMLI\README.md	3275	2016-01-09
Time-varying-HAC-master\COPlcpdiffMLI\dates	141712	2016-01-09
Time-varying-HAC-master\COPlcpdiffMLI\metainfo.txt	554	2016-01-09
Time-varying-HAC-master\COPlcpgraphs	0	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\AGumbel	134992	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\BGumbel	143992	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs.R	3121	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs1.png	4967	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs2.png	4888	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs3.png	5017	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs4.png	5065	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\README.md	4614	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\dates	141712	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\global.taus	48	2016-01-09
Time-varying-HAC-master\COPlcpgraphs\metainfo.txt	831	2016-01-09
Time-varying-HAC-master\README.md	2250	2016-01-09

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