TY  - BOOK
AU  - DAJCMAN, Silvo
TI  - Tail dependence between Central and Eastern European and major European stock markets: a copula approach
PY  - 2013///
CY  - New York
PB  - Taylor & Francis
KW  - Central and Eastern Europe
KW  - stock market
KW  - dependence
N2  - This article analyses dynamic tail dependence between the returns of the three largest Central and Eastern European (CEE) stock markets (Hungary, Czech Republic and Poland) and two major Eurozone stock markets (Germany and France). Tail dependence is modelled by a constant and dynamic ‘symmetrized Joe-Clayton’ (SJC) copula assuming GARCH stock market return processes. The results of the dynamic SJC copula model show that the dependence between pair-wise observed stock markets is time-varying and asymmetric with lower tail dependence mostly exceeding upper tail dependence. The results of the article imply that advantages of international portfolio diversification are reduced in downturns
UR  - https://doi.org/10.1080/13504851.2013.829185
ER  -