20.500.12556/DKUM-49854 Tail dependence between Central and Eastern European and major European stock markets a copula approach This article analyses dynamic tail dependence between the returns of the three largest Central and Eastern European (CEE) stock markets (Hungary, Czech Republic and Poland) and two major Eurozone stock markets (Germany and France). Tail dependence is modelled by a constant and dynamic 'symmetrized Joe-Clayton' (SJC) copula assuming GARCH stock market return processes. The results of the dynamic SJC copula model show that the dependence between pair-wise observed stock markets is time-varying and asymmetric with lower tail dependence mostly exceeding upper tail dependence. The results of the article imply that advantages of international portfolio diversification are reduced in downturns. borze borzništvo finančna kriza EU true false false Angleški jezik Angleški jezik Delo ni kategorizirano 2015-07-10 12:32:20 2015-07-10 12:32:20 2022-05-28 03:07:31 2019-07-10 21:38:13 2013 0 0 str. 1567-1573 iss. 17 Vol. 20 2013 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 336.76 934165 11484956 10.1080/13504851.2013.829185 1350-4851 URN:SI:UM:DK:P0YVKHYS http://dx.doi.org/10.1080/13504851.2013.829185 1 https://dk.um.si/Dokument.php?lang=slv&id=74413 Ekonomsko-poslovna fakulteta 0 0 0