Kim, M., Yang, J. orcid.org/0000-0002-4509-1263, Song, P. et al. (1 more author) (2021) The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments. Quantitative Finance, 21 (5). pp. 815-835. ISSN 1469-7688
Abstract
Motivated by the importance of the dependence structure between equity and foreign exchange rates in international financial markets, we investigate whether modelling the dependence structure can help forecast the tail risk of foreign investments. We propose a new time-varying asymmetric copula for modelling the dependence structure and forecasting the tail risk. We conduct backtesting on our tail risk forecasts for 12 major developed and emerging markets. We find that modelling the dependence structure can improve the tail risk forecast and make risk management of foreign investments more robust.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2020 Informa UK Limited, trading as Taylor & Francis Group. This is an author-produced version of a paper subsequently published in Quantitative Finance. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Foreign investments; Dependence structure; TVAC model; Value-at-Risk; Expected shortfall |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 06 Aug 2021 17:03 |
Last Modified: | 23 Apr 2022 00:38 |
Status: | Published |
Publisher: | Informa UK Limited |
Refereed: | Yes |
Identification Number: | 10.1080/14697688.2020.1812701 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:176873 |