ORCID Profile
0000-0002-1196-4599
Current Organisation
Keio University
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Publisher: Elsevier BV
Date: 09-2017
Publisher: Elsevier BV
Date: 04-2022
Publisher: Elsevier BV
Date: 09-2008
Publisher: Elsevier BV
Date: 05-2021
Publisher: Elsevier BV
Date: 08-2022
Publisher: Informa UK Limited
Date: 20-04-2012
Publisher: Informa UK Limited
Date: 15-10-2023
Publisher: Elsevier BV
Date: 05-2021
Publisher: Wiley
Date: 28-08-2007
Publisher: Elsevier BV
Date: 12-2011
Publisher: Elsevier BV
Date: 2023
Publisher: Elsevier BV
Date: 03-2016
Publisher: Elsevier BV
Date: 08-2013
Publisher: Elsevier BV
Date: 06-2022
Publisher: Elsevier BV
Date: 05-2019
Publisher: Elsevier BV
Date: 04-2019
Publisher: Elsevier BV
Date: 09-2014
Publisher: Elsevier BV
Date: 09-2010
Publisher: Elsevier BV
Date: 2022
Publisher: Elsevier BV
Date: 10-2021
Publisher: Wiley
Date: 13-01-2011
DOI: 10.1002/FUT.20473
Publisher: Cambridge University Press (CUP)
Date: 09-2008
DOI: 10.1017/S0022109000004294
Abstract: A number of recent studies finds two asymmetries in dependence structures in international equity markets specifically, dependence tends to be high in both highly volatile markets and in bear markets. In this paper, a further investigation of asymmetric dependence structures in international equity markets is performed by using the Markov switching model and copula theory. Combining these two theories enables me to model dependence structures with sufficient flexibility. Using this flexible framework, I indeed find that there are two distinct regimes in the U. S.-U. K. market. I also show that for the U. S.-U. K. 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, I show that ignorance of this further asymmetry in bear markets is very costly for risk management. Lastly, I conduct a similar analysis for other G7 countries, where I find other cases in which the use of a Markov switching multivariate normal model would be inappropriate.
Publisher: Springer Science and Business Media LLC
Date: 27-11-2013
DOI: 10.1111/JERE.12027
Publisher: Springer Science and Business Media LLC
Date: 18-05-2021
Publisher: Wiley
Date: 15-06-2020
DOI: 10.1111/MANC.12323
Publisher: Informa UK Limited
Date: 25-09-2015
Publisher: Elsevier BV
Date: 09-2017
Publisher: Elsevier BV
Date: 2011
Publisher: Wiley
Date: 04-03-2020
DOI: 10.1111/ECIN.12883
Publisher: Elsevier BV
Date: 2020
Location: United States of America
Location: Australia
No related grants have been discovered for Tatsuyoshi Okimoto.