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Multidimensional Copula Models of Dependencies Between Selected International Financial Market Indexes

  • Tomáš BacigálEmail author
  • Magdaléna Komorníková
  • Jozef Komorník
Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 945)

Abstract

In this paper we focus our attention on multi-dimensional copula models of returns of the indexes of selected prominent international financial markets. Our modeling results, based on elliptic copulas, 7-dimensional vine copulas and hierarchical Archimedean copulas demonstrate a dominant role of the SPX index among the considered major stock indexes (mainly at the first tree of the optimal vine copulas). Some interesting weaker conditional dependencies can be detected at it’s highest trees. Interestingly, while global optimal model (for the whole period of 277 months) belong to the Student class, the optimal local models can be found (with very minor differences in the values of GoF test statistic) in the classes of vine and hierarchical Archimedean copulas. The dominance of these models is most striking over the interval of the financial market crisis, where the quality of the best Student class model was providing a substantially poorer fit.

Keywords

International financial market indexes Elliptic copulas Vine copulas Hierarchical Archimedean copulas 

Notes

Acknowledgement

The support of the grants APVV-14-0013 and VEGA 1/0420/15 is kindly announced.

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  • Tomáš Bacigál
    • 1
    Email author
  • Magdaléna Komorníková
    • 1
  • Jozef Komorník
    • 2
  1. 1.Slovak University of TechnologyBratislavaSlovakia
  2. 2.Comenius UniversityBratislavaSlovakia

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