Zdrojový dokument:Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 44/2018
ISSN:1211-555X (Print)
Abstrakt:
Knowledge the dependence between risk factors is very importance in risk
management. The failure of traditional approaches to market risk measure motivates to
investigate the relationship between financial markets. The aim of this paper is to
examine the dependence between stock index returns and foreign exchange rate returns
for six selected economies. In this context, it is detected evidence of dynamic and
asymmetric dependence. It is empirically demonstrated that application of asymmetric
dynamic copula improves the Value at Riks as well as Expected Shortfall estimates.
Overall, the results show that the dependence structure of international financial
markets is more complicated than the structure predicted by the traditional approaches
to market risk measure.