Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation

Mikhail Makushkin () and Victor Lapshin
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Mikhail Makushkin: National Research University Higher School of Economics (NRU HSE). Moscow, Russian Federation

Applied Econometrics, 2020, vol. 57, 30-52

Abstract: The article examines cross dependencies in risks of Russian and foreign stock markets. Bivariate quantile autoregression VAR for VaR is used to achieve this goal. It is shown that Russia is a net receiver of external risk. Tail dependencies between markets tend to increase in turbulent times. Information about them helps to better predict market risks. However, for business use less sophisticated risk models are recommended. The results might be applied for risk-management purposes.

Keywords: risk valuation; tail dependencies; risk spillovers; risk management; international stock markets; VaR; CAViaR; VAR for VaR. (search for similar items in EconPapers)
JEL-codes: C12 C13 C32 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0386

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