论文标题
金砖四国股市的渐近依赖性建模
Asymptotic dependence modelling of the BRICS stock markets
论文作者
论文摘要
通过使用经验数据，本文着重于解决涉及五种金砖国家（巴西，俄罗斯，印度，中国和南非）十个成对组合的极端依赖的财务和投资问题。研究中使用了2010年1月5日至2018年8月6日的每日截止权益指数。与以前的文献不同，我们使用双变量点过程和有条件的多元极值模型来研究股票市场回报的极端依赖性。但是，观察到的是，该点过程能够对有助于可能性估计的更多极端观察结果进行建模。它提供的信息比CMEV模型的阈值过剩方法更多。这项研究表明，极端低依赖性结构的水平不同，其结果对投资者，投资组合经理和其他有兴趣最大化投资回报和财务收益感兴趣的市场参与者非常有益。
With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of ten pairwise combinations of the five BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018 are used in the study. Unlike previous literature, we use bivariate point process and conditional multivariate extreme value models to investigate the extremal dependence of the stock market returns. However, it is observed that the point process was able to model many more extreme observations or exceedances that contribute to the likelihood estimation. It gives more information than the threshold excess method of the CMEV model. This study shows varying levels of low extremal dependence structure whose outcomes are highly beneficial to investors, portfolio managers and other market participants interested in maximising investment returns and financial gains.
