Extreme contagion in emerging stock markets using extreme value copulas

Authors

Ramzi Nekhili, University of WollongongFollow

RIS ID

29804

Publication Details

Nekhili, R. 2006, 'Extreme contagion in emerging stock markets using extreme value copulas', The VII workshop on Quantitative Finance,

Abstract

This paper uses multivariate extreme value theory to model the tail dependence as a measure of extreme contagion in emerging stock markets. Using the extreme value copulas, we determine the joint probabilities of simultaneous crashes between two emerging markets. The study is performed on a number of East-Asian emerging markets that have lived the well-known Asian flu. The results revealed the existence of a high contagion of crisis in the Asian emerging markets with a continuous high risk dependence structure in the aftermath of the Asian flu.