Asymmetric extreme interdependence in emerging equity markets

DOI10.1002/ASMB.602MaRDI QIDQ3410962zbMATH OpenOpenAlexFDO

Authors Beatriz Vaz de Melo Mendes

Publication date 8 December 2006

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.602

zbMATH Keywords

asymmetrycopulasextreme eventstail dependence coefficients

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Extremes and related properties of random sequences and processes
• Understanding Relationships Using Copulas

Cited in

(21)

• Dependence of Stock Returns in Bull and Bear Markets
• Improving financial risk assessment through dependency
• Dependence values of Asia-Pacific stock markets
• Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach
• Normal tempered stable copula
• Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets
• On the dynamic dependence and asymmetric co-movement between the US and central and eastern European transition markets
• Asymmetry in tail dependence in equity portfolios
• Oil price and FX-rates dependency
• Assessing stock market dependence and contagion
• Joint threshold exceedances of stock index returns in bull and bear preriods
• Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas
• Extreme interdependency of the high-frequency data in financial markets based on Gumbel copula fuction
• scientific article; zbMATH DE number 2042812 (Why is no real title available?)
• Robust Fits for Copula Models
• Asymmetric tail dependence modeling, with application to cryptocurrency market data
• Extreme dependence in investor attention and stock returns -- consequences for forecasting stock returns and measuring systemic risk
• A simple nonparametric test for structural change in joint tail probabilities
• A measurement of affluence and poverty interdependence across countries: evidence from the application of tail copula
• Measuring the coupled risks: A copula-based CVaR model
• Dependence structure of market states

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