Choice of Copulas in Explaining Stock Market Contagion

• Main Author: Lim, Kian Guan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Archimedean copulas; stock market contagion; conditional tail losses; Kullback-Leibler distance; Artificial Intelligence and Robotics; Business Administration, Management, and Operations
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3590; https://doi.org/10.1007/978-3-642-35443-4_9
• Institution: Singapore Management University

We provide in this paper an assessment of how well the Archimedean class of copulas can explain equity market contagion across regions. In particular we examine the Clayton, the Gumbel, and the Frank copulas. Three representative large equity markets across the globe in U.S., in U.K., and in Japan a...