Year: 2002
Type: preprint
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.
DOI: 10.2139/ssrn.1728762
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1518978876