Abstract：
With the improvement of integration of international economy, the sudden economic events in one country may lead to the changes in the interaction between international financial markets and even have contagion effect on the economy of the whole world. Using Skew t-GARCH model, the authors handled the characteristics of pinnacle, volatility and fat tail shown in the time series data, and in combination with static and dynamic copula function method, the authors compared the changes in the relevant structure in the three financial markets of America and China in the recent 20 years before and after the 1997 and 2007 financial crises, and made a comparative analysis of the contagion effect and contagion channel of financial risks
2011 
