Nonlinear dependence structure in emerging and advanced stock markets

Nonlinear dependence structure in emerging and advanced stock markets

© Springer Nature Switzerland AG 2019. The aim of this paper is to propose smooth transition (ST) copula as new model to capture nonlinear or two regimes dependence structure between emerging and advanced stock markets, and compare the performance of ST copula with Markov-Switching (MS) copula and t...

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Main Authors: Roengchai Tansuchat, Woraphon Yamaka
Format: Book Series
Published: 2019
Subjects:
Computer Science
Mathematics
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85064196946&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/65541
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-655412019-08-05T04:39:40Z Nonlinear dependence structure in emerging and advanced stock markets Roengchai Tansuchat Woraphon Yamaka Computer Science Mathematics © Springer Nature Switzerland AG 2019. The aim of this paper is to propose smooth transition (ST) copula as new model to capture nonlinear or two regimes dependence structure between emerging and advanced stock markets, and compare the performance of ST copula with Markov-Switching (MS) copula and traditional copula. The data consists of two sets of stock markets, namely five emerging stock markets: China, India, Brazil, Indonesia, and Turkey, and two advanced stock markets: United Kingdom and United States of America. The results show that ST student-t copula for two-regime dependent structure outperforms MS copula, and one regime copula. Thus, ST copula is more appropriate model for the dependence structure between emerging and advanced stock markets. 2019-08-05T04:35:07Z 2019-08-05T04:35:07Z 2019-01-01 Book Series 16113349 03029743 2-s2.0-85064196946 10.1007/978-3-030-14815-7_18 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85064196946&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65541
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
Mathematics
spellingShingle Computer Science
Mathematics
Roengchai Tansuchat
Woraphon Yamaka
Nonlinear dependence structure in emerging and advanced stock markets
description © Springer Nature Switzerland AG 2019. The aim of this paper is to propose smooth transition (ST) copula as new model to capture nonlinear or two regimes dependence structure between emerging and advanced stock markets, and compare the performance of ST copula with Markov-Switching (MS) copula and traditional copula. The data consists of two sets of stock markets, namely five emerging stock markets: China, India, Brazil, Indonesia, and Turkey, and two advanced stock markets: United Kingdom and United States of America. The results show that ST student-t copula for two-regime dependent structure outperforms MS copula, and one regime copula. Thus, ST copula is more appropriate model for the dependence structure between emerging and advanced stock markets.
format Book Series
author Roengchai Tansuchat
Woraphon Yamaka
author_facet Roengchai Tansuchat
Woraphon Yamaka
author_sort Roengchai Tansuchat
title Nonlinear dependence structure in emerging and advanced stock markets
title_short Nonlinear dependence structure in emerging and advanced stock markets
title_full Nonlinear dependence structure in emerging and advanced stock markets
title_fullStr Nonlinear dependence structure in emerging and advanced stock markets
title_full_unstemmed Nonlinear dependence structure in emerging and advanced stock markets
title_sort nonlinear dependence structure in emerging and advanced stock markets
publishDate 2019
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85064196946&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/65541
_version_ 1681426288150052864

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