Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
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- Katja Ignatieva & Eckhard Platen, 2009. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series 265, Quantitative Finance Research Centre, University of Technology, Sydney.
References listed on IDEAS
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- Ales Kresta & Tomas Tichy, 2012. "International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 141-161, May.
- Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
- Ignatieva, Katja & Landsman, Zinoviy, 2015. "Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 172-186.
- Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015.
"Commonality in hedge fund returns: Driving factors and implications,"
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Elsevier, vol. 54(C), pages 266-280.
- Bussiere, M. & Hoerova, M. & Klaus, B., 2012. "Commonality in hedge fund returns: driving factors and implications," Working papers 373, Banque de France.
- Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2014. "Commonality in hedge fund returns: driving factors and implications," Working Paper Series 1658, European Central Bank.
- Boubaker, Heni & Sghaier, Nadia, 2013. "Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 361-377.
- repec:ipg:wpaper:2014-094 is not listed on IDEAS
- 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.
- Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme," Working Papers 2014-94, Department of Research, Ipag Business School.
More about this item
KeywordsInternational equity market; Student-t distribution; Symmetric generalized hyperbolic distribution; Time-varying copula; Value-at-risk; World stock index;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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