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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Kebangsaan Malaysia
2011
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| Online Access: | http://journalarticle.ukm.my/2618/ http://journalarticle.ukm.my/2618/1/16_A.Shamiri.pdf |
| _version_ | 1848809923666771968 |
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| author | Shamiri, Hamzah .N.A, Pirmoradian .A, |
| author_facet | Shamiri, Hamzah .N.A, Pirmoradian .A, |
| author_sort | Shamiri, |
| building | UKM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T23:22:20Z |
| format | Article |
| id | oai:generic.eprints.org:2618 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T23:22:20Z |
| publishDate | 2011 |
| publisher | Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org: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/ |
| spellingShingle | Shamiri, Hamzah .N.A, Pirmoradian .A, Tail dependence estimate in financial market risk management:clayton-gumbel copula approach |
| title | 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_short | 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 |
| url | http://journalarticle.ukm.my/2618/ http://journalarticle.ukm.my/2618/ http://journalarticle.ukm.my/2618/1/16_A.Shamiri.pdf |