Dependence structure analysis using Copula-GARCH model : an application to UK and US stock markets

Xiao, Ling and Dhes, Gurjeet: Dependence structure analysis using Copula-GARCH model : an application to UK and US stock markets. Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress : International Scientific Conference Szeged, November 19-21, 2009. pp. 624-635. (2010)

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Abstract

The relationship between different international stock markets is of importance for both financial practitioners and academicians in order to manage risks. Especially after the financial crisis, the pronounced financial contagion draws the public attention to look into such associations. However, measuring and modelling dependence structure becomes complicated when asset returns present nonlinear, nongaussian and dynamic features. In this paper, we firstly investigate volatility spillover effect between FTSE100 and S&P500 stock indices. Strong lagged volatility of stock market itself and asymmetric spillover effect between UK and US stock markets are found out based on the multivariate GARCH-BEKK model. We also take a pilot study based on two step Copula-GARCH model to examine the correlation and tail dependence of returns. Some interesting results of co-movement between UK and US stock markets are discussed.

Item Type: Article
Journal or Publication Title: Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress : International Scientific Conference Szeged, November 19-21, 2009
Date: 2010
Page Range: pp. 624-635
ISBN: 978-963-06-9558-9
Uncontrolled Keywords: Pénzügyi válság, Pénzügy, Statisztikai módszer - adatelemzés
Additional Information: Bibliogr.: p. 634-635. ; összefoglalás angol nyelven
Date Deposited: 2019. Apr. 25. 09:38
Last Modified: 2019. Apr. 25. 09:38
URI: http://acta.bibl.u-szeged.hu/id/eprint/57829

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