Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach
PBN-AR
Instytucja
Wydział Zarządzania (Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie)
Informacje podstawowe
Główny język publikacji
EN
Czasopismo
Central European Journal of Operations Research
ISSN
1435-246X
EISSN
1613-9178
Wydawca
Springer
DOI
Rok publikacji
2016
Numer zeszytu
3
Strony od-do
763--786
Numer tomu
24
Link do pełnego tekstu
Identyfikator DOI
Liczba arkuszy
1.7
Autorzy
(liczba autorów: 2)
Słowa kluczowe
EN
risk management
expected shortfall
copula
regime switching
international market
regular vine
Streszczenia
Język
EN
Treść
This paper investigates the structure of dependence among twelve European markets and among twelve Asian-Pacific markets. The dynamic of the dependence structure is described by a two-state regime switching model. The dependence structure during a bull phase is modelled by the Gaussian copula, while dependence during a bear phase is modelled by the regular vine copula. We analyze the regular vine structure in the second regime precisely. We perform a simplification procedure using a likelihoodratio test and discuss the substitution of general regular vines by canonical vines or drawable vines. The analysis confirms the two-state nature of financial markets in addition to asymmetric and heavy-tailed dependences. Additionally, the European market has proven to be more strongly connected than the Asian-Pacific market, and European dependences are deeper in terms of conditional dependences. The results can be used by international investors by taking into account differences of both analyzed regions. Additionally, the analysis may help with the crisis prediction. The shift time to the market phase describing crisis times occurs significantly before the crisis itself.
Cechy publikacji
original article
peer-reviewed
Inne
System-identifier
idp:099325
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