Tail dependence estimate in financial market risk management:clayton-gumbel copula approach

This paper focuses on measuring risk due to extreme events going beyond the multivariate normal distribution of joint returns. The concept of tail dependence has been found useful as a tool to describe dependence between extreme data in finance. Specifically, we adopted a multivariate Copula-EGARCH...

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Main Authors:	Shamiri, Hamzah .N.A, Pirmoradian .A
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2011
Online Access:	http://journalarticle.ukm.my/2618/ http://journalarticle.ukm.my/2618/ http://journalarticle.ukm.my/2618/1/16_A.Shamiri.pdf

id	ukm-2618
recordtype	eprints
spelling	ukm-26182016-12-14T06:32:09Z http://journalarticle.ukm.my/2618/ Tail dependence estimate in financial market risk management:clayton-gumbel copula approach Shamiri, Hamzah .N.A, Pirmoradian .A, This paper focuses on measuring risk due to extreme events going beyond the multivariate normal distribution of joint returns. The concept of tail dependence has been found useful as a tool to describe dependence between extreme data in finance. Specifically, we adopted a multivariate Copula-EGARCH approach in order to investigate the presence of conditional dependence between international financial markets. In addition, we proposed a mixed Clayton-Gumbel copula with estimators for measuring both, the upper and lower tail dependence. The results showed significant dependence for Singapore and Malaysia as well as for Singapore and US, while the dependence for Malaysia and US was relatively weak. Universiti Kebangsaan Malaysia 2011-08 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/2618/1/16_A.Shamiri.pdf Shamiri, and Hamzah .N.A, and Pirmoradian .A, (2011) Tail dependence estimate in financial market risk management:clayton-gumbel copula approach. Sains Malaysiana, 40 (8). pp. 927-935. ISSN 0126-6039 http://www.ukm.my/jsm/
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This paper focuses on measuring risk due to extreme events going beyond the multivariate normal distribution of joint returns. The concept of tail dependence has been found useful as a tool to describe dependence between extreme data in finance. Specifically, we adopted a multivariate Copula-EGARCH approach in order to investigate the presence of conditional dependence between international financial markets. In addition, we proposed a mixed Clayton-Gumbel copula with estimators for measuring both, the upper and lower tail dependence. The results showed significant dependence for Singapore and Malaysia as well as for Singapore and US, while the dependence for Malaysia and US was relatively weak.
format	Article
author	Shamiri, Hamzah .N.A, Pirmoradian .A,
spellingShingle	Shamiri, Hamzah .N.A, Pirmoradian .A, Tail dependence estimate in financial market risk management:clayton-gumbel copula approach
author_facet	Shamiri, Hamzah .N.A, Pirmoradian .A,
author_sort	Shamiri,
title	Tail dependence estimate in financial market risk management:clayton-gumbel copula approach
title_short	Tail dependence estimate in financial market risk management:clayton-gumbel copula approach
title_full	Tail dependence estimate in financial market risk management:clayton-gumbel copula approach
title_fullStr	Tail dependence estimate in financial market risk management:clayton-gumbel copula approach
title_full_unstemmed	Tail dependence estimate in financial market risk management:clayton-gumbel copula approach
title_sort	tail dependence estimate in financial market risk management:clayton-gumbel copula approach
publisher	Universiti Kebangsaan Malaysia
publishDate	2011
url	http://journalarticle.ukm.my/2618/ http://journalarticle.ukm.my/2618/ http://journalarticle.ukm.my/2618/1/16_A.Shamiri.pdf
first_indexed	2023-09-18T19:36:34Z
last_indexed	2023-09-18T19:36:34Z
_version_	1777405310249467904

Tail dependence estimate in financial market risk management:clayton-gumbel copula approach

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