ANALYSIS OF TAIL DEPENDENCE STRUCTURE IN GLOBAL FINANCIAL MARKETS

• Authors: Grażyna Trzpiot , Justyna Majewska
• Languages of publication: EN

Abstracts

EN

The identification of tail (in)dependencies has drawn major attention in empirical financial studies. We concern on the structure of dependence which refers to dependence as symmetric or asymmetric, tail-dependent or tail-independent. We present the proper procedure of analysis dependence structure between some financial instruments. Our empirical results demonstrate different tail dependence structures underlying various global financial markets.

Keywords

EN

tail-dependence; extremes; extreme value theory; copula

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 1
• Pages: 174-182

Dates

published

2014

Contributors

author

Grażyna Trzpiot

• Katedra Demografii i Statystyki Ekonomicznej, Uniwersytet Ekonomiczny w Katowicach

author

Justyna Majewska

• Katedra Demografii i Statystyki Ekonomicznej, Uniwersytet Ekonomiczny w Katowicach

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