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Asymmetric Increasing Trends in Dependence in International Equity Markets
Company: Centre for Applied Macroeconomic Analysis
Year Of Publication: 2014
Month Of Publication: May
Resource Link: Click here to open
Pages: 28
Download Count: 0
View Count: 903
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-15-2014
Publisher: Administrator
Summary
This paper investigates asymmetric increasing trends in dependence in major international equity markets. We develop a multiple-regime smooth-transition copula GARCH model. Our results suggest that two or three regimes are sufficient for describing the dependence trends in international equity markets over the last 35 years with significant asymmetric increases. The implied time-series of three dependence measures show a variety of dynamics. Finally, we evaluate the economic significance of our empirical finding based on the 99% value at risk and expected shortfall. Our result indicates that both risk measures have increased approximately 20% over the last 35 years in major equity markets.
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This document is published in Journal of Banking & Finance (2014), http://dx.doi.org/10.1016/j.jbankfin.2014.05.025
Author(s)
Okimoto, Tatsuyoshi Sign in to follow this author
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