What is the Best Approach to Measure the Interdependence between Different Markets?

Sanvi Avouyi-Dovi, D. Gu gan and S. Ladoucette

Working papers from Banque de France

Abstract: In order to measure the interdependence between different markets, we investigate and compare different measures of dependence including cross-correlation, conditional correlation, concordance and correlation in tails. In the latter case, we use the notion of copula and we define two kinds of diagnoses which enable us to adjust the joint empirical tail distribution in the case of two or three markets for the best copulas. In particular, this approach makes it possible to understand the evolution of the interdependence of more than two markets in the tails, in particular, when extremal values (which correspond to a shock) induce some turmoil in the evolution of the markets.

Keywords: Interdependence; Conditional correlation; Concordance; Functions copulas. (search for similar items in EconPapers)
JEL-codes: C14 C22 G15 (search for similar items in EconPapers)
Pages: 64 pages
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:95

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