Nowa wersja platformy jest już dostępna.
Przejdź na https://bibliotekanauki.pl

PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2014 | 15(XV) | nr 1 | 174-182
Tytuł artykułu

Analysis of Tail Dependence Structure in Global Financial Markets

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The identification of tail (in)dependencies has drawn major attention in empirical financial studies. We concern on the structure of dependence which refers to dependence as symmetric or asymmetric, taildependent or tail-independent. We present the proper procedure of analysis dependence structure between some financial instruments. Our empirical results demonstrate different tail dependence structures underlying various global financial markets. (original abstract)
Twórcy
  • Uniwersytet Ekonomiczny w Katowicach
  • Uniwersytet Ekonomiczny w Katowicach
Bibliografia
  • Ané T., Kharoubi C. (2003) Dependence structure and risk measure, Journal of Business, 76, 411-438.
  • Ang A. Bekaert G. (2002) International Asset Allocation with Regime Shifts, Review of Financial Studies, 15, 1137-1187.
  • Ang A., Chen J. (2002) Asymmetric Correlations of Equity Portfolios, Journal of Financial Economics, 63, 443-494.
  • Butler K.C., Joaquin D.C., (2002) Are the Gains from International Portfolio Diversification Exaggerated? The Influence of Downside Risk in Bear Markets, Journal of International Money and Finance 21, 981-1011.
  • Campbell R., Koedijk K., Kofman P. (2002) Increased correlation in bear markets. Financial Analysts Journal, Jan-Feb, 87-94.
  • Cappiello L., Engle R.F., Sheppard K., (2006) Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns, Journal of Financial Econometrics, 4, 537-572.
  • Coles S. (2001) An Introduction to Statistical Modeling of Extreme Values, Springer, Berlin.
  • Embrechts P., Klüppelberg C., Mikosch T. (1997) Modelling Extremal Events for Insurance and Finance, Springer, Berlin.
  • Embrechts P., McNeil A., Straumann D. (2002) Correlation and dependency in risk management: properties and pitfalls, [in:] Dempster M.A.H. (ed.) Risk Management: Value at Risk and Beyond, Cambridge University Press, 176-223.
  • Falk M., Michel R. (2006) Testing for tail independence in extreme value models, Annals of the Institute of Statistical Mathematics, 58, 261-290.
  • Frahm G., Junker M., Schmidt R. (2005) Estimating the tail-dependence coefficient: Properties and pitfalls, Insurance: Mathematics and Economics, 37, 80-100.
  • Frank M.J. (1979) On the Simultaneous Associativity of F(x,y) and xyF(x,y), Aequationes Mathematicae, 19, 194 - 226.
  • Haan L. de, Resnick S.I. (1977) Limit theory for multivariate sample extremes, Zeitschrift fuer Wahrscheinlichkeitsteorie und verwandte Gebiete, 40, 317-337.
  • Hartmann P., Straetmans S., De Vries C.G. (2004) Asset Market Linkages in Crisis Periods, Review of Economics and Statistics 86, 313-326.
  • Joe H. (1997) Multivariate Models and Dependence Concepts, Chapman and Hall, London.
  • Karolyi G.A., Stulz R.M. (1996) Why do markets move together? An investigation of U.S.-Japan stock return comovements, Journal of Finance, 51(3), 951-986.
  • Knight J., Lizieri C., Satchell S. (2006) Diversification when it hurts? The joint distribution of real estate and equity markets, Journal of Property Research, 22, 309-323.
  • Longin F., Solnik B. (2001) Extreme correlation of international equity markets, Journal of Finance 56, 649-676.
  • Malevergne Y., Sornette D. (2004) Investigating extreme dependencies. Extreme Financial Risks (From dependence to risk management) Springer, Heidelberg, 2006.
  • Sibuya M. (1960) Bivariate extreme statistics I. Annals of Institute of the Statistical Mathematics, 11, 195-210.
  • Sklar A. (1959) Fonctions de répartition à n dimensions et leurs marges. Publications de l'Institut de Statistique de l'Université de Paris, 8, 229-231.
  • Trzpiot G., Majewska J. (2012) Tail independence in extreme value models - an application for East and Central Europe Stock Exchange Markets, Badania Operacyjne i Decyzje 1/2012, Oficyna Wydawnicza Politechniki Wrocławskiej, Wrocław.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171316637
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.