The Dependence Structure between Equity and Foreign Exchange Markets and Tail Risk Forecasts of Foreign Investments

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Main author: Kim, Minjoo
Other authors: Yang, Junhong
Song, Pengcheng
Yang, Zhao
Format: Journal Article           
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id eprints-34160
recordtype eprints
institution SOAS, University of London
collection SOAS Research Online
language English
language_search English
description Motivated by the importance of the dependence structure between equity and foreign exchange rates in international financial markets, we investigate whether modelling the dependence structure can help forecast the tail risk of foreign investments. We propose a new time-varying asymmetric copula for modelling the dependence structure and forecasting the tail risk. We conduct backtesting on our tail risk forecasts for 12 major developed and emerging markets. We find that modelling the dependence structure can improve the tail risk forecast and make risk management of foreign investments more robust.
format Journal Article
author Kim, Minjoo
author_facet Kim, Minjoo
Yang, Junhong
Song, Pengcheng
Yang, Zhao
authorStr Kim, Minjoo
author_letter Kim, Minjoo
author2 Yang, Junhong
Song, Pengcheng
Yang, Zhao
author2Str Yang, Junhong
Song, Pengcheng
Yang, Zhao
title The Dependence Structure between Equity and Foreign Exchange Markets and Tail Risk Forecasts of Foreign Investments
publisher Taylor and Francis
publishDate 2021
url https://eprints.soas.ac.uk/34160/

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