Tail Dependence in Asian Stock Markets Based on the Copula with Vine Structure

TL;DRAbstract

The SJC Copula function based on vine structure is applied to measure the tail dependence in Asian stock markets. Empirical result shows that tail dependence between stock returns is asymmetry. The lower tail dependence is stronger than the upper tail. Given the stock return, the conditional tail dependence is weaker. Especially, given the stock return of Hong Kong, the conditional tail dependence between China and other countries is close to zero.

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