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Asymmetric increasing trends in dependence in international equity markets

Okimoto, Tatsuyoshi

Description

This paper investigates asymmetric increasing trends in dependence in major international equity markets. To this end, we develop a multiple-regime smooth-transition copula GARCH model and address several important questions, including the number of regimes and the existence of increasing asymmetric trends in dependence. Our results suggest that two or three regimes are sufficient for describing the dependence trends in international equity markets over the last 35. years with significant...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
URI: http://hdl.handle.net/1885/29672
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2014.05.025

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