Multivariate Tail Dependence in Financial Markets

JOOCHEOl Kim and Sungho Kim
Additional contact information
JOOCHEOl Kim: Yonsei University
Sungho Kim: Yonsei University

No 2014rwp-71, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: Tail dependence is important to globalized countries, since an open economy is highly sensitive to global economic crises, and easy to get contagioned. This article studies bivariate tail dependence between two random variables, and rstly extends bivariate tail dependence into mul- tivariate tail dependence. By applying multivariate tail dependence to global stock markets, we found clusters through which economic crises may have spread.

Pages: 10pages
Date: 2014-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://121.254.254.220/repec/yon/wpaper/2014rwp-71.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:yon:wpaper:2014rwp-71

Access Statistics for this paper

More papers in Working papers from Yonsei University, Yonsei Economics Research Institute Contact information at EDIRC.
Bibliographic data for series maintained by YERI ().