This paper investigates asymmetric increasing trends in dependence in major international equity markets. To this end, we develop a multiple-regime smooth-transition copula GARCH model and address several important questions, including the number of regimes and the existence of increasing...

This paper investigates changes in the dynamics of linkages between selected national stock markets during the period 1995–2009. The analysis focuses on the possible effects of globalization and differences between crisis and non-crisis periods. We model the dynamics of dependencies between...

We analyze the dynamics and strength of linkages between the Czech, Hungarian and Polish stock markets after the EU accession of the corresponding countries. In addition, we examine linkages between each of the markets and developed markets (European and US). The analysis is based on the daily...

In the paper, we document how conditional dependencies observed in the FOREX market change during a trading day. The analysis is performed for the pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD) of exchange rates. We consider daily returns calculated using the exchange rates quoted at different...

The Pearsonian coefficient of correlation as a measure of association between two variates is highly prone to the deleterious effects of outlier observations (in data). Statisticians have proposed a number of formulas to obtain robust measures of correlation that are considered to be less...

Tie-corrected versions of Spearman’s rho are often used to measure the dependence in a pair of non-continuous random variables. Multivariate extensions of this coefficient, and estimators thereof, have recently been proposed by Quessy (2009a) [23] and Mesfioui and Quessy (2010) [19]....