This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 174
Type: Contributed
Date/Time: Monday, August 2, 2010 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract - #307523
Title: Dependence Evolution in International Equity Markets
Author(s): Tatsuyoshi Okimoto*+
Companies: Hitotsubashi University
Address: 2-1-2 Hitotsubashi, Chiyoda-ku, Tokyo, 101-8439, Japan
Keywords: Smooth transition model ; Copula ; GARCH ; Spearman's rho ; Tail dependence

This paper investigates the dynamics of dependence in 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 asymmetry in dependence evolution. Our results indicate that two or three regimes are enough to describe dependence evolution in international equity markets over the last thirty-five years with a significant increase in both upper and lower tail dependences. Our results also suggest that accommodating the asymmetric dependence evolution is arguably important. In addition, the implied time-series of three dependence measures show a wide variety of dynamics, demonstrating usefulness of our framework to describe dynamics of dependence in international equity markets.

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