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Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets
Company: The Hong Kong University of Science and Technology
Year Of Publication: 2009
Month Of Publication: April
Pages: 40
Download Count: 5
View Count: 1216
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-12-2010
Publisher: Administrator
Summary
In this paper, we study the extreme dependence between the markets in Hong Kong, Shanghai, Shenzhen, Taiwan and Singapore. The tail dependence coefficient (TDC), which measures how likely financial returns move together in extreme market conditions, is modeled dynamically using the Multivariate Generalized Autoregressive Conditional Heteroscedasticity model with the time-varying correlation matrix of Tse and Tsui (2002). The time paths of the TDC indicate that Hong Kong stocks had the highest extreme dependence during the Asian financial crisis and their TDCs have followed an increasing trend since 2006. The results in this paper also show that the TDC pattern of Singapore with the other markets is very similar to the TDC pattern of Hong Kong with the other markets. An increasing trend in the extreme dependence between Shanghai A Share Index and Shanghai B Share Index and between the Hang Seng Index and the Hong Kong China Enterprise Index is observed from 2002 to 2007. A substantial r
Author(s)
So, Mike K. P. Sign in to follow this author
Tse, Alex S. L. Sign in to follow this author
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