کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7377657 | 1480116 | 2016 | 46 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications](/preview/png/7377657.png)
چکیده انگلیسی
The interdependence of Greece and other European stock markets and the subsequent portfolio implications are examined in wavelet and variational mode decomposition domain. In applying the decomposition techniques, we analyze the structural properties of data and distinguish between short and long term dynamics of stock market returns. First, the GARCH-type models are fitted to obtain the standardized residuals. Next, different copula functions are evaluated, and based on the conventional information criteria and time varying parameter, Joe-Clayton copula is chosen to model the tail dependence between the stock markets. The short-run lower tail dependence time paths show a sudden increase in comovement during the global financial crises. The results of the long-run dependence suggest that European stock markets have higher interdependence with Greece stock market. Individual country's Value at Risk (VaR) separates the countries into two distinct groups. Finally, the two-asset portfolio VaR measures provide potential markets for Greece stock market investment diversification.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 457, 1 September 2016, Pages 8-33
Journal: Physica A: Statistical Mechanics and its Applications - Volume 457, 1 September 2016, Pages 8-33
نویسندگان
Syed Jawad Hussain Shahzad, Ronald Ravinesh Kumar, Sajid Ali, Saba Ameer,