On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach
Heni Boubaker and
Additional contact information
Heni Boubaker: IPAG Business School
Nadia Sghaier: IPAG Business School
Bankers, Markets & Investors, 2015, issue 136-137, 80-93
This paper examines the dynamic dependence structure between US and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global financial crisis 2007-2009. The econometric approach is based on the extreme-value time-varying copula functions. Specifically, the marginal distributions are reproduced by an extreme-value based model, while the joint distribution is explored using the time-varying Normal and Symmarized Joe Clayton copulas. The empirical results show that the dynamic dependence between US and Japanese stock markets is symmetric, while that between US and European stock markets is asymmetric. In particular, this dynamic dependence increases during a crisis and seems to be related to the geographic position.
Keywords: Dynamic Dependence; Stock Markets; Extreme Value Theory; Time-varying Copulas (search for similar items in EconPapers)
JEL-codes: G15 C32 C10 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
http://www.revue-banque.fr/article/dynamic-depende ... -and-other-developed (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rbq:journl:i:136-137:p:80-93
Ordering information: This journal article can be ordered from
12 rue du Quatre-Septembre, 75002 PARIS France
Access Statistics for this article
More articles in Bankers, Markets & Investors from ESKA Publishing
Bibliographic data for series maintained by Marise Urbano ().