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ASME Press Select Proceedings

International Conference on Information Technology and Computer Science, 3rd (ITCS 2011)

Editor
V. E. Muhin
V. E. Muhin
National Technical University of Ukraine
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W. B. Hu
W. B. Hu
Wuhan University
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ISBN:
9780791859742
No. of Pages:
656
Publisher:
ASME Press
Publication date:
2011

The SJC Copula function based on vine structure is applied to measure the tail dependence in Asian stock markets. Empirical result shows that tail dependence between stock returns is asymmetry. The lower tail dependence is stronger than the upper tail. Given the stock return, the conditional tail dependence is weaker. Especially, given the stock return of Hong Kong, the conditional tail dependence between China and other countries is close to zero.

Abstract
Keywords
I. Introduction
II. A Pair-Copula Decomposition of a General Multivariate Distribution
III. Application
IV. Conclusion
References
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