ǂa ǂcopula approach
Silvo Dajčman (Author)

Abstract

This article analyses dynamic tail dependence between the returns of the three largest Central and Eastern European (CEE) stock markets (Hungary, Czech Republic and Poland) and two major Eurozone stock markets (Germany and France). Tail dependence is modelled by a constant and dynamic 'symmetrized Joe-Clayton' (SJC) copula assuming GARCH stock market return processes. The results of the dynamic SJC copula model show that the dependence between pair-wise observed stock markets is time-varying and asymmetric with lower tail dependence mostly exceeding upper tail dependence. The results of the article imply that advantages of international portfolio diversification are reduced in downturns.

Keywords

borze;borzništvo;finančna kriza;EU;

Data

Language: English
Year of publishing:
Typology: 1.01 - Original Scientific Article
Organization: UM EPF - Faculty of Economics and Business
UDC: 336.76
COBISS: 11484956 Link will open in a new window
ISSN: 1350-4851
Views: 583
Downloads: 23
Average score: 0 (0 votes)
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Other data

Secondary language: English
URN: URN:SI:UM:
Type (COBISS): Not categorized
Pages: str. 1567-1573
Volume: ǂVol. ǂ20
Issue: ǂiss. ǂ17
Chronology: 2013
DOI: 10.1080/13504851.2013.829185
ID: 1434936