Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963475 | Journal of International Financial Markets, Institutions and Money | 2012 | 25 Pages |
Abstract
⺠This paper proposes the use of two models; conditional extreme value and time-varying copula. ⺠We examine how both models capture the tail dependence between the Australian financial market and other selected international stock markets. ⺠We observed various properties for each model but the combination of both helped to figured out tail dependence. ⺠The empirical results suggest a real improvement over normality approach.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
M. Ishaq Bhatti, Cuong C. Nguyen,