ANALYSIS OF TAIL DEPENDENCE STRUCTURE IN GLOBAL FINANCIAL MARKETS
ANALYSIS OF TAIL DEPENDENCE STRUCTURE IN GLOBAL FINANCIAL MARKETS

Summary/Abstract: The identification of tail (in)dependencies has drawn major attention in empirical financial studies. We concern on the structure of dependence which refers to dependence as symmetric or asymmetric, tail-dependent or tail-independent. We present the proper procedure of analysis dependence structure between some financial instruments. Our empirical results demonstrate different tail dependence structures underlying various global financial markets.

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