New Evidence of Asymmetric Dependence Structures in International Equity Markets

By Tatsuyoshi Okimoto. Journal of Financial and Quantitative Analysis, 2008

266 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1dddbea2a71d4f2d57dd2fd09f7a3ac56cae85b8

Citations in the corpus

• Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets (2012, unknown): “Recent empirical studies applying copulas, e.g., Chen and Fan (2006); Kole, Koedijk, and Verbeek (2007); Okimoto (2008); Patton (2006a and b); and Rodriguez (2007), focus on developed countries but pay less attention to emerging markets, in particular the dependence between stock markets and…”
• Modeling International Financial Returns with a Multivariate Regime Switching Copula (2009, unknown): “Rodriguez (2007) and Okimoto (2007) estimate regime-switching copulas for pairs of international stock indices.”
• A new time-varying optimal copula model identifying the dependence across markets (2017, unknown): “Okimoto (2008) and Garcia and Tsafack (2011) constructed an RSC model to describe the type of dependence structure under different regimes.”
• Copula Methods for Forecasting Multivariate Time Series (2013, unknown): “Regime switching models, as in Hamilton (1989), for the conditional copula allow the functional form of the copula to vary through time and are considered by Rodriguez (2007), Okimoto (2008), Chollete, et al. (2009), Markwat, et al. (2009), Garcia and Tsafack (2011).”
• International diversification: A copula approach (2011, unknown): “Okimoto ( 2008 ) finds evidence of asymmetric dependence between stock indices from these countries .”
• The shifting dependence dynamics between the G7 stock markets (2018, unknown): “† The literature dealing with regime-switching copula is abundant (see, for example, Okimoto 2008, Silva Filho et al. 2012, Wang et al. 2013, among others).”
• No contagion, only globalization and flight to quality (2012, unknown): “But this stability has recently been challenged by a large body of econometric research (see, e.g., Engle, 2002; Okimoto, 2008; Osborn et al., 2008).”
• Do socially responsible investment indexes outperform conventional indexes? (2012, unknown): “As with Ang and Bekaert (2002) and Okimoto (2008), a two-regime assumption in the general stock and SRI markets is applied.”
• Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts (2010, unknown): “The flexibility of the parametric approach may be further increased by allowing for time-variation in the parameters of the (conditional) copula, see Patton (2006) and Jondeau and Rockinger (2006) for instance.”
• Regime Switching Vine Copula Models for Global Equity and Volatility Indices (2016, unknown): “Several studies in the past invoked copula constructions to investigate either market dependencies, contagion or spillover effects as well, cf. Rodriguez (2007), Okimoto (2008), Arakelian and Dellaportas (2012) or Bartram and Wang (2015).”
• Using local Gaussian correlation in a nonlinear re-examination of financial contagion (2014, unknown): “Okimoto (2008). Models 3 and 4 are also commonly used, and models 5 and 6 are included in order to examine how the proposed test behaves in a righ-tail dependent environment.”
• Does the price of oil interact with clean energy prices in the stock market (2013, unknown): “To capture the possible time variation in the interrelations between oil and stock markets, we introduce the MS framework into the recursive structural VAR model according to Sims and Zha (2006) and Inoue and Okimoto (2008).”
• MGARCH models: Trade-off between feasibility and flexibility (2018, unknown): “For example, Ramchand and Susmel (1998), Longin and Solnik (2001) and Okimoto (2008) find that cross-correlations between markets are higher during unstable periods when the markets are more volatile.”
• A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach (2013, unknown): “The large number of parameters makes it difficult to find the numerical maximum of the likelihood function (Patton, 2004, 2006). To minimize the number of parameters to be estimated, Rodriguez (2007) and Okimoto (2008) simplified their specification of marginal models.”