This study sets up a model which assumes a conditional skewed-t distribution for returns on four of China's stock price indexes (Shanghai A, Shanghai B, Shenzhen A and Shenzhen B). We employ Chen and Fan's (2004) pseudo-Wald test via the copula approach to evaluate both in- and out-of-sample...

Extreme market co-movements in the context of time-varying market integration are investigated for APEC emerging equity markets using the concept of extreme correlation. We show that both foreign and domestic portfolio investments have contributed to extreme market movements; and extreme...

In this research, we employ three two-parameter Archimedean copulas (BB1, BB4 and BB7) to investigate the dynamic asymmetric tail dependences between two of three Asian developed futures markets, Hong Kong, Japan and Singapore, during the post-Asian financial crisis period. We first model the...