A time-varying copula approach to equity market contagion
| Název práce v češtině: | Nákaza kapitálových trhů metodou kopulí proměnných v čase |
|---|---|
| Název v anglickém jazyce: | A time-varying copula approach to equity market contagion |
| Klíčová slova: | závislost chvostů, kopule proměnné v čase, finananční nákaza |
| Klíčová slova anglicky: | tail dependence, time-varying copulas, financial contagion |
| Akademický rok vypsání: | 2013/2014 |
| Typ práce: | diplomová práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | doc. PhDr. Jozef Baruník, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 20.06.2014 |
| Datum zadání: | 20.06.2014 |
| Datum a čas obhajoby: | 15.09.2016 00:00 |
| Místo konání obhajoby: | IES |
| Datum odevzdání elektronické podoby: | 29.07.2016 |
| Datum proběhlé obhajoby: | 15.09.2016 |
| Oponenti: | Mgr. Petra Buzková |
| Kontrola URKUND: | |
| Seznam odborné literatury |
| 1. Creal, D., Koopman, S. J., & Lucas, A. (2013). Generalized autoregressive score models with applications. Journal of Applied Econometrics, 28(5), 777-795.
2. Patton, A. (2012). Copula methods for forecasting multivariate time series. Handbook of Economic Forecasting, 2, 1-77. 3. Rémillard, B. (2010). Goodness-of-fit tests for copulas of multivariate time series. Available at SSRN 1729982. 4. Rivers, D., & Vuong, Q. (2002). Model selection tests for nonlinear dynamic models. The Econometrics Journal, 5(1), 1-39. 5. Rodriguez, J. C. (2007). Measuring financial contagion: A copula approach. Journal of Empirical Finance, 14(3), 401-423. 6. Sklar, A. (1959). Fonctions de répartition à n dimensions et leurs marges. Fonctions De Répartition à n Dimensions Et Leurs Marges, 229-231. |
| Předběžná náplň práce v anglickém jazyce |
| The existing literature on financial contagion covers several studies on copula based examination of the contagion phenomenon between different markets. However, some innovative techniques for copula modeling have been developed recently. In this thesis I would like to extend the topic by applying the recently developed time-varying estimates to measure the contagion of on CEE equity markets.
I would like to measure the effect of contagion by examining the changes in the tail dependence and asymmetry with the changes in overall dependence structure of equity market returns during periods of turmoil. Fitting copulas with different tail behavior enables to test whether times of increased dependence can also be characterized by changes in tail distribution. For this purpose, I will employ time-varying copulas. This approach enables the conditional dependence structure to vary through time. Modeling the contagion phenomena by employing time-varying copulas enables to examine the dependence structure more properly compared to the constant copula methods. |