Imperial College London
Portrait Picture

DrAlexTse

Faculty of Natural Sciences, Department of Mathematics

Casual - Visiting Lecturer
 
 
 
//

Contact

 

a.tse Website

 
 
//

Location

 

705Weeks BuildingSouth Kensington Campus

//

Summary

 

Publications

Citation

BibTex format

@article{So:2009:10.1007/s10690-009-9092-6,
author = {So, MKP and Tse, ASL},
doi = {10.1007/s10690-009-9092-6},
journal = {Asia-Pacific Financial Markets},
pages = {183--210},
title = {Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets},
url = {http://dx.doi.org/10.1007/s10690-009-9092-6},
volume = {16},
year = {2009}
}
Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - In this paper, we study the extreme dependence between the markets in Hong Kong, Shanghai, Shenzhen, Taiwan and Singapore. The tail dependence coefficient (TDC), which measures how likely financial returns move together in extreme market conditions, is modeled dynamically using the Multivariate Generalized Autoregressive Conditional Heteroscedasticity model with the time-varying correlation matrix of Tse and Tsui (Journal of Business & Economic Statistics, 20(3):351-363, 2002). The time paths of the TDC indicate that Hong Kong stocks had the highest extreme dependence during the Asian financial crisis and their TDCs have followed an increasing trend since 2006. The results in this paper also show that the TDC pattern of Singapore with the other markets is very similar to the TDC pattern of Hong Kong with the other markets. An increasing trend in the extreme dependence between Shanghai A Share Index and Shanghai B Share Index and between the Hang Seng Index and the Hong Kong China Enterprise Index is observed from 2002 to 2007. A substantial rise in the TDC between Shenzhen A Share Index and Shenzhen B Share Index was recorded after the China market reforms in 2005. Our TDC modeling with Asian market data provides evidence that Asian markets are becoming integrated and their extreme co-movements during financial turmoil are becoming stronger. © Springer Science+Business Media, LLC. 2009.
AU  - So,MKP
AU  - Tse,ASL
DO  - 10.1007/s10690-009-9092-6
EP  - 210
PY  - 2009///
SN  - 1387-2834
SP  - 183
TI  - Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets
T2  - Asia-Pacific Financial Markets
UR  - http://dx.doi.org/10.1007/s10690-009-9092-6
VL  - 16
ER  -
Download