Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach

Yang, Lu; Jason, Z.; Hamori, Shigeyuki

doi:10.3390/su10020324

Cited by 11 publications

(9 citation statements)

References 35 publications

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“…In turn, this reduces the diversification benefits available to investors. Monitoring the process of financial integration allows us to measure the economic interdependence, as well as to obtain the necessary information for investors [4,5]. According to authors of paper [6], it is clear that the nonextensibility of the share of alternative investments in the institutional investment portfolio may be due to the optimization of historical data.…”

Section: Methodological Foundationsmentioning

confidence: 99%

Influence of speculative operations on the investment capital: Anempirical analysis of capital markets

Slobodianyk

Abuselidze

2021

E3S Web Conf.

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The article is devoted to substantiation of significance of speculative operations and follows the goal to study their condition and development. The purpose of this article is to reveal the essence of the speculative component of the movement of investment capital in stock exchange. It is substantiated that existence and stability of the securities market plays a significant role in development of financial market, which in turn becomes a key element in the mechanism of economy. The authors emphasize that the liquid market continues to function even with a large number of economic agents while price fluctuation of securities have a little change. It has been established that speculation can be carried out on the stock exchange both using cash and in futures transactions. However, operating with cash transactions has fewer combinations and in general less profitable, thus the main arena of speculators becomes the market of future transactions. It has been proven that speculative profits are possible during both “bullish games” and in shorting’s, thus becoming an important tool for additional attraction of investments. Consequently, speculations have a crucial role in achieving a balance between capital market participants.

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Section: Methodological Foundationsmentioning

confidence: 99%

Influence of speculative operations on the investment capital: Anempirical analysis of capital markets

Slobodianyk

Abuselidze

2021

E3S Web Conf.

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“…Copula研究了五个国家或地区股市与美国股市之间的相关结构，并以尾部相关系数作为风险传染的度 10 F o r R e v i e w O n l y 中国科学: 数学 http://mathcn.scichina.com 中国科学 : 数学评审中稿件量。在各国国债市场的系统性风险研究包括，Omachel和Rudolf [101] 采用动态Copula模型研究了欧元区主权违约和汇率之间的系统性风险。对于Patton [34] 的时变Copula模型在系统性风险中应用做出了重要贡献的是Reboredo和Ugolini [102]，他们建立了二元Copula 函数与系统性风险的测度CoVaR之间的关系，通过Patton [34] 的时变模型刻画Copula参数的动态性，并应用欧洲8 个国家和一个债务指数数据，来研究2000-2012年间欧洲主权债务市场中的系统性风险。Reboredo和Ugolini [103] 以时变二元Copula为基础构建动态藤Copula模型，并研究了希腊国债与欧洲金融系统之间风险传染。BenSaïda [104] 基于symmetrized Joe-Clayton (SJC)Copula构建了马尔可夫机制转换C-藤和D-藤模型，并将该模型应用于分析欧元区与美国主权债务市场之间的传染效应。Lange等 [105] 将GAS 动态Copula模型应用于国债收益率数据和CDS数据，以联合违约概率为测度研究了整个欧洲经济体系的系统性风险。Yang等 [106] 采用GAS动态Copula 模型研究了中东欧三国和德国国债收益率之间的相关结构，并以此刻画了各国之间的系统性风险溢出效应。…”

Section: 广义自回归得分(Gas)copula模型unclassified

Dynamic copulas and applications in finance

Li¹,

Li²,

Han³

2021

Sci. Sin.-Math.

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Copula functions can describe the complex dependence structure between variables comprehensively and flexibly, which make them widely used in finance. The dynamic development of financial markets causes the dependence structure between financial variables to change over time, which can be modeled by dynamic copulas by changing the parameters or type of copula function. This paper reviews systematically the main literatures on dynamic copula models and their applications in finance, from the development of dynamic copula models, several commonly-used dynamic copula models, and their main applications in finance. In the conclusion we present the summary and future research directions of dynamic copulas.

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“…Risk spillover intensity can be calculated by the change rate of CoVaR relative to VaR, so as to measure the risk spillover in extreme situations. Although it is directional, it is difficult to extend the risk spillover to multiple financial markets [41][42][43]. 5Fractal theory.…”

Section: Literature Reviewmentioning

confidence: 99%

Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects

Gao

2019

Sustainability

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As global financial markets become highly dependent on each other, risk contagion among stock markets is a primary feature of progressing globalization, which poses uncertainties for government agencies. The deficiency of previous studies is that it is difficult to accurately grasp the direction of risk diffusion in different time periods, and to depict the intensity of risk contagion constantly. Research on causality and measurement of financial risk contagion based on nonlinear causality tests and dynamic Copula methods will help governments to allocate financial resources reasonably and effectively, thus promoting the sustainable development of the social economy and financial markets. Taking the Chinese stock market as an example, this paper evaluated the risk contagion effect between the Chinese stock market and six other stock markets including developed and emerging markets from January 2006 to December 2018. From the aspect of causality, the nonlinear Granger causality test was applied to the entire time period and the phased time periods involving specific events like the subprime mortgage crisis and the Chinese stock market crash. From the aspect of measurement, the dynamic Markov state transition Copula model was used to describe the asymmetrically dependent structure of markets, from which was derived the time-varying lower tail dependence coefficients. The results have been summarized as follows. Firstly, after the outbreak of the subprime mortgage crisis, the stock markets in developed and emerging markets unilaterally affected the Chinese stock market, indicating that China was the recipient at this stage. Then, after the outbreak of the Chinese stock market crash, the Chinese stock market had a risk contagion effect on both Japanese and Russian stock markets, indicating that China became a source of financial risk contagion within a limited area at this stage. Lastly, in terms of the degree of risk contagion, the lower tail dependence coefficients of the Chinese stock market and other markets were significantly increased after the occurrence of specific risk events, while the risk contagion degree of developed markets was higher than that of emerging markets. Policymakers can recognize and apply the characteristics of risk contagion at different stages to refrain from unreasonable institutional arrangements, thus improving the sustainability of economic development.

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Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach

Cited by 11 publications

References 35 publications

Influence of speculative operations on the investment capital: Anempirical analysis of capital markets

Influence of speculative operations on the investment capital: Anempirical analysis of capital markets

Dynamic copulas and applications in finance

Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects

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