統計数学セミナー

過去の記録 ~02/04次回の予定今後の予定 02/05~

担当者 吉田朋広、荻原哲平、小池祐太
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

2007年05月23日(水)

16:20-17:30   数理科学研究科棟(駒場) 122号室
沖本 竜義 氏 (横浜国立大学経済学部・大学院国際社会科学研究科)
New Evidence of Asymmetric Dependence Structures in International Equity Markets
[ 講演概要 ]
A number of recent studies found two asymmetries in dependence structures in international equity markets; specifically, dependence tends to be high in (1) highly volatile markets and (2) bear markets. In this paper, a further investigation on asymmetric dependence structures in international equity markets is performed under the use of the Markov switching model and copula theory. Combining these two theories enables us to model dependence structures with sufficient flexibility. Using this flexible framework we indeed found that there are two distinct regimes in the US-UK market. We also showed that, for the US-UK market, the bear regime is better described by an asymmetric copula with lower tail dependence with clear rejection of the Markov switching multivariate Normal model. In addition, we showed ignorance of this further asymmetry in bear markets is very costly for risk management. Lastly, we conducted similar analysis for other G7 countries, where we found other c ases where the use of a Markov switching multivariate Normal model would be inappropriate.
[ 参考URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2007/00.html