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Tail Dependence in Bivariate Distributions

100%
Jajuga K., Wrocław University of Economics D. o. F. I. a. I.
Acta Universitatis Lodziensis. Folia Oeconomica
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2005
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vol. 194
PL
W artykule rozpatrywany jest problem zależności w ogonie dla rozkładów dwuwymiarowych. Przedstawiono przegląd różnych podejść do analizowania tej zależności. Szczególna uwaga poświęcona została warunkowym współczynnikom korelacji oraz współczynnikom zależności w ogonie. Wskazano, jak te współczynniki mogą być analizowane za pomocą tzw. analizy połączeń.
EN
In the paper the problem of tail dependence for bivariate data is considerod. The review of different approaches is given. The particular emphasis is put on the conditional correlation coefficients and tail dependence coefficients. It is shown how the latter can be analyzed through copula analysis.
2
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Spatial contagion between stock markets in Central Europe

88%
Czapkiewicz A., Wójtowicz T.
Managerial Economics
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2017
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vol. 18
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issue 1
23-46
EN
In this paper, we investigate contagion between three European stock markets: those in Frankfurt, Vienna, and Warsaw. Two of them are developed markets, while the last is an emerging market. Additionally, the stock exchanges in Vienna and Warsaw are competing markets in the CEE region. On the basis of daily and intraday returns, we analyze and compare the dependence between the major indices of these markets during calm and turbulent periods. A comparison of the dependence in the tail and in the central part of the joint distribution of returns (via a spatial contagion measure) indicates strong contagion among the analyzed markets. Additionally, the application of a conditional contagion measure indicates the importance of taking into account the situation on other markets when contagion between two markets is considered.
3
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Dynamic Linkages in the Pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD): How Do They Change During a Day?

63%
Doman M., Doman R.
Central European Journal of Economic Modelling and Econometrics
|
2014
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issue 1
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