ǂa ǂcopula approach
Silvo Dajčman (Avtor)

Povzetek

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.

Ključne besede

borze;borzništvo;finančna kriza;EU;

Podatki

Jezik: Angleški jezik
Leto izida:
Tipologija: 1.01 - Izvirni znanstveni članek
Organizacija: UM EPF - Ekonomsko-poslovna fakulteta
UDK: 336.76
COBISS: 11484956 Povezava se bo odprla v novem oknu
ISSN: 1350-4851
Št. ogledov: 583
Št. prenosov: 23
Ocena: 0 (0 glasov)
Metapodatki: JSON JSON-RDF JSON-LD TURTLE N-TRIPLES XML RDFA MICRODATA DC-XML DC-RDF RDF

Ostali podatki

Sekundarni jezik: Angleški jezik
URN: URN:SI:UM:
Vrsta dela (COBISS): Delo ni kategorizirano
Strani: str. 1567-1573
Letnik: ǂVol. ǂ20
Zvezek: ǂiss. ǂ17
Čas izdaje: 2013
DOI: 10.1080/13504851.2013.829185
ID: 1434936