This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United … empirical results show that the dynamic dependence between American and Japanese stock markets is symmetric while that between … American and European stock markets is asymmetric. In particular, this dependence seems to be related to geographic position. …

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity … changes in the dependence structure in response to common shocks affecting individual risk profiles, possible linkages during … collapse of Lehman Brothers. The average (multivariate) dependence among a global sample of banks and insurance companies …

, we found very similar lead-lag dependence between the S&P500 stock market index and the yields of bonds inside two groups …

The dependence between asset returns varies. Its strength can become stronger or weaker. Also, its structure can change … different copulas with time variation. Our model shows both types of changes in the dependence between several equity market …

This paper investigates the level and development of cross-country stock market dependence using daily returns on stock … modelling the dependence between markets using parametric families of copulas which offer various alternatives to the commonly … assumed normal dependence structure. Moreover, the dependence across stock markets is allowed to vary over time through a …