کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7368947 | 1479341 | 2017 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Conditional dependence between international stock markets: A long memory GARCH-copula model approach
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In this paper, we investigate the relationship between major international stock markets by taking into account the long memory in volatility under structural shifts. We use long memory GARCH-skewed student-t models for the marginal distribution modeling and copulas functions for the dependence structure investigation. Using daily international stock market data from 2003 to 2017, the empirical results show that the long memory GARCH-copula models are more appropriate than standard GARCH-copulas models in dependence modeling. Moreover, results indicate that the dependence structure increases during the global financial and European debt crisis. Furthermore, a Value-at-Risk application shows that the long memory GARCH-copula models provide more accurate multivariate market risk estimation. Therefore, the dependence structure between stock markets is affected by long memory in volatility. These findings have important implications for investors interested in international stock markets for portfolio diversification, risk management, and international asset allocation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volumes 42â43, December 2017, Pages 116-131
Journal: Journal of Multinational Financial Management - Volumes 42â43, December 2017, Pages 116-131
نویسندگان
Khaled Mokni, Faysal Mansouri,