統計数学セミナー
Seminar on Probability and Statistics |
Home : Archive [ 2003 to 04 ] [ 2004 to 05 ] [ 2005 to 06 ] [ 2006 to 07 ] [ 2007 to 08 ] [ 2008 to 09 ] [ 2009 to 10 ] [ 2010 to 11 ] [ 2011 to 12 ] [ 2012 to 13 ] [ 2013 to 14 ] [ 2014 to 15 ] |
Previous Seminar : Next Seminar |
Seminar on Probability and Statistics Wednesday May 23 2007 Tokyo 122 4:20-5:30 pm
New Evidence of Asymmetric Dependence Structures in International Equity Markets
沖本 竜義 / OKIMOTO, Tatsuyoshi 横浜国立大学経済学部・大学院国際社会科学研究科 / Faculty of Economics and IGSSS, Yokohama National University Abstract A number of recent studies found two asymmetries in dependence
structures in international equity markets; specifically, dependence tends to be
high in (1) highly volatile markets and (2) bear markets. In this paper, a further
investigation on asymmetric dependence structures in international equity markets
is performed under the use of the Markov switching model and copula theory.
Combining these two theories enables us to model dependence structures with
sufficient flexibility. Using this flexible framework we indeed found that there are
two distinct regimes in the US-UK market. We also showed that, for the US-UK
market, the bear regime is better described by an asymmetric copula with lower
tail dependence with clear rejection of the Markov switching multivariate Normal
model. In addition, we showed ignorance of this further asymmetry in bear markets
is very costly for risk management. Lastly, we conducted similar analysis for other
G7 countries, where we found other c ases where the use of a Markov switching
multivariate Normal model would be inappropriate.
|
Previous Seminar : Next Seminar | Seminar on Probability and Statistics |