Diversification evidence from international equity markets using extreme values and stochastic copulas

► This paper proposes the use of two models; conditional extreme value and time-varying copula. ► We examine how both models capture the tail dependence between the Australian financial market and other selected international stock markets. ► We observed various properties for each model but the combination of both helped to figured out tail dependence. ► The empirical results suggest a real improvement over normality approach.