Modelling co-movements and tail dependency in the international stock market via copulae

DOI10.1007/s10690-010-9116-2zbMath1195.91182OpenAlexW3123133116MaRDI QIDQ1959136

Katja Ignatieva, Eckhard Platen

Publication date: 6 October 2010

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/14005

zbMATH Keywords

value-at-riskStudent-\(t\) distributionsymmetric generalized hyperbolic distributioninternational equity markettime-varying copulaworld stock index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items

Modeling spot price dependence in Australian electricity markets with applications to risk management, Tail variance for Generalized Skew-Elliptical distributions, Conditional tail risk measures for the skewed generalised hyperbolic family, Pair-copula constructions for non-Gaussian DAG models, Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions, The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Parametric families of multivariate distributions with given margins
• The meta-elliptical distributions with given marginals
• An introduction to copulas.
• Statistical properties of the generalized inverse Gaussian distribution
• The theory and applications of statistical inference functions
• Elliptical copulas: Applicability and limitations.
• Portfolio management with stable distributions
• Hyperbolic distributions in finance
• A benchmark approach to quantitative finance
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• The Multivariate Portmanteau Statistic
• On a measure of lack of fit in time series models
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Stochastic finance. An introduction in discrete time
• A new look at the statistical model identification