Extremal dependence between international stock markets is of particular interest in today’s global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. In this project, we introduce a regression model that allows us to assess how extremal dependence evolves over time. We can apply our model to virtually any pair of continuous observations that are measured along a certain covariate (in our case, time). In this work, we used our model to assess how joint extreme losses of some leading European stock markets evolve over time. If you want to know more, visit this link.

 

Reference

Castro-Camilo, D., de Carvalho, M., & Wadsworth, J. (2018). Time-varying extreme value dependence with application to leading European stock markets. The Annals of Applied Statistics, 12(1), 283-309.

First published: 25 October 2022

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