On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach
This 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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