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A time-varying copula approach to equity market contagion
Horáčková, Petra ; Baruník, Jozef (advisor) ; Buzková, Petra (referee)
The dependence structures in financial markets count among the most frequently discussed topics in the recent literature. However, no general consensus on modeling of the cross-market linkages has been reached. This thesis analyses the dependence structure and contagion in the financial markets in Central and Eastern Europe. Tail dependence, symmetry and dynamics of the dependence structure are examined. A conditional copula framework extended by recently developed dynamic generalized autoregressive score (GAS) model is used to capture the conditional time-varying joint distribution of stock market returns. Considering the Czech, Croatian, Hungarian, Austrian and Polish stock market indices over the 2005-2012 period, we find that time-varying Student's t GAS copula provides the best fit. The results show, that the degree of dependence increases substantially during the global financial crisis, having a direct impact on portfolio optimization.
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A time-varying copula approach to equity market contagion
Horáčková, Petra ; Baruník, Jozef (advisor) ; Buzková, Petra (referee)
The dependence structures in financial markets count among the most frequently discussed topics in the recent literature. However, no general consensus on modeling of the cross-market linkages has been reached. This thesis analyses the dependence structure and contagion in the financial markets in Central and Eastern Europe. Tail dependence, symmetry and dynamics of the dependence structure are examined. A conditional copula framework extended by recently developed dynamic generalized autoregressive score (GAS) model is used to capture the conditional time-varying joint distribution of stock market returns. Considering the Czech, Croatian, Hungarian, Austrian and Polish stock market indices over the 2005-2012 period, we find that time-varying Student's t GAS copula provides the best fit. The results show, that the degree of dependence increases substantially during the global financial crisis, having a direct impact on portfolio optimization.
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