On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach
AbstractThis paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global Â…nancial crisis 2007-2009. The econometric approach is based on the extreme-value time-varying copula functions. SpeciÂ…cally, the marginal distributions are reproduced by an extreme-value based model while the joint distribution is explored using time-varying Normal and SJC copulas. The empirical results show that the dynamic dependence between American and Japanese stock markets is symmetric while that between American and European stock markets is asymmetric. In particular, this dependence seems to be related to geographic position.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-094.
Length: 19 pages
Date of creation: 12 Feb 2014
Date of revision:
dependence; stock markets; extreme value theory; time-varing copulas.;
Other versions of this item:
- Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach," Working Papers 2014-281, Department of Research, Ipag Business School.
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