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Multivariate Tail Dependence in Financial Markets

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  • JOOCHEOl KIM

    (Yonsei University)

  • SUNGHO KIM

    (Yonsei University)

Abstract

Tail dependence is important to globalized countries, since an open economy is highly sensitive to global economic crises, and easy to get contagioned. This article studies bivariate tail dependence between two random variables, and rstly extends bivariate tail dependence into mul- tivariate tail dependence. By applying multivariate tail dependence to global stock markets, we found clusters through which economic crises may have spread.

Suggested Citation

  • JOOCHEOl KIM & SUNGHO KIM, 2014. "Multivariate Tail Dependence in Financial Markets," Working papers 2014rwp-71, Yonsei University, Yonsei Economics Research Institute.
    • Handle: RePEc:yon:wpaper:2014rwp-71
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    References listed on IDEAS

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