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- Title
VLIV STRUKTURY ZÁVISLOSTÍ NA PŘESNOST MĚR TRŽNÍHO RIZIKA.
- Authors
Jeřábek, Tomáš
- Abstract
Knowledge the dependence between risk factors is very importance in risk management. The failure of traditional approaches to market risk measure motivates to investigate the relationship between financial markets. The aim of this paper is to examine the dependence between stock index returns and foreign exchange rate returns for six selected economies. In this context, it is detected evidence of dynamic and asymmetric dependence. It is empirically demonstrated that application of asymmetric dynamic copula improves the Value at Riks as well as Expected Shortfall estimates. Overall, the results show that the dependence structure of international financial markets is more complicated than the structure predicted by the traditional approaches to market risk measure.
- Subjects
DEPENDENCY (Psychology); FINANCIAL markets; STOCK price indexes; FOREIGN exchange rate risk; COPULA functions
- Publication
Scientific Papers of the University of Pardubice. Series D, Faculty of Economics & Administration, 2018, Vol 26, Issue 44, p90
- ISSN
1211-555X
- Publication type
Article