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1、AppliedFinancialEconomics,2009,19,273–290Estimationofdynamicasymmetrictaildependences:anempiricalstudyonAsiandevelopedfuturesmarketsQingXu*andXiao-MingLiDepartmentofCommerce,MasseyUniversityatAlbany,Auckland,NewZealandInthisresearch,weemploythreetwo-parameterArchimedeancopulas(BB1,BB4and
2、BB7)toinvestigatethedynamicasymmetrictaildependencesbetweentwoofthreeAsiandevelopedfuturesmarkets,HongKong,JapanandSingapore,duringthepost-Asianfinancialcrisisperiod.Wefirstmodelthemarginaldistributionbyconditionalskewed-tdistributionandfindthathighermomentsofeachfilteredindexfuturesretu
3、rnaretimedependent.Wethenextendthetwo-parametercopulasincorporatingtime-varyingtaildependencestocapturethedynamicasymmetries.Theestimatedresultsprovidestrongevidenceofasymmetricdependenceacrossthethreefuturesmarkets.Moreover,totakeaccountofdatasnooping,weimplementHansen’s(2005)superiorpr
4、edictiveabilitytesttoevaluatethemodelfitting.WefoundthattheBB7copulafortheHangSeng–MSCISIN(MorganStanleyCapitalInternationalindex)pairandtheBB1copulafortheNikkei225–MSCISINpairoutperformthesimplesymmetricGaussiancopula.Thesebestmodelfittingsalsodemonstratethattheprobabilityofdependencein
5、bearmarketsishigherthaninbullmarketsfurtherexposingdownsidedependentriskinthesemarkets.Finally,basedonthemodelevaluationresult,weestimatethecopula-basedportfolioValueatRisks(VaRs)andthediversificationbenefitsatbothlowerandhigherconfidencelevels.Theresultsclearlyshowthattheconditionalcopu
6、la-basedportfolioVaRmodelscanprovidehigherdegreeofdiversificationbenefitathigherconfidencelevel.Therefore,thesesophisticatedcopulamodelsareadequateandconsider-ableforthefinancialriskmanagement.I.Introductionworld,themarketdependencestructureisusuallyasymmetricduetoinvestors’heterogeneity
7、.AnumberThedependencestructureofinternationalfinancialofrecentempiricalstudieshaveuncoveredthatmarketsisincreasinglyimportantinvariousfieldsofcorrelationsbetweeninternationalequitymarketsfinancesuchasoptimalassetsallocation,multivariatearehigherduringmarketdownturnsthandu
