{"title":"Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation","authors":"Mikhail Makushkin, V. Lapshin","doi":"10.22394/1993-7601-2020-57-30-52","DOIUrl":null,"url":null,"abstract":"The article examines cross dependencies in risks of Russian and foreign stock markets. Bivariate quantile autoregression VAR for VaR is used to achieve this goal. It is shown that Russia is a net receiver of external risk. Tail dependencies between markets tend to increase in turbulent times. Information about them helps to better predict market risks. However, for business use less sophisticated risk models are recommended. The results might be applied for risk-management purposes.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"57 1","pages":"30-52"},"PeriodicalIF":0.0000,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Econometrics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22394/1993-7601-2020-57-30-52","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 1
Abstract
The article examines cross dependencies in risks of Russian and foreign stock markets. Bivariate quantile autoregression VAR for VaR is used to achieve this goal. It is shown that Russia is a net receiver of external risk. Tail dependencies between markets tend to increase in turbulent times. Information about them helps to better predict market risks. However, for business use less sophisticated risk models are recommended. The results might be applied for risk-management purposes.
Applied EconometricsEconomics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
0.70
自引率
0.00%
发文量
0
期刊介绍：
The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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