文章基本信息

标题：Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach
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作者：Marcelo Brutti Righi ; Paulo Sergio Ceretta
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2012
卷号：32
期号：2
页码：1151-1161
出版社：Economics Bulletin
摘要：In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and Asia-Pacific emerging. To that, we used daily prices from January 2003 to November 2011, totaling 1872 observations. After, we estimated the lower and upper tail dependence for each bivariate relationship, comparing the three sets of markets. The results allow concluding that there are some discrepancies in the dependence of the lower and upper tails. The Asia-Pacific markets obtained the great general absolute and tail dependences. The results reinforced the need for a correct risk management in the case of international portfolios due to the fact that the tails generally represent extreme events, as crisis for example, which can lead to deep losses periods occasioned by eventual contagions caused by the tail dependence among the markets. Further, the diversification must be done properly, with optimization process that consider this dependence in the extreme values.
关键词：Tail Dependence; Pair Copula Construction; Risk Management; Global Markets