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Conference publications

On statistical properties of financial markets in crisis periods

Shchetinin Eu. Yu., Nazarenko K. M., Paramonov A. V.

Russia, Moscow

"Математика. Компьютер. Образование". Cб. трудов XII международной конференции. Под общей редакцией Г.Ю. Ризниченко Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2005. Vol. 1, 332pp. Pp. 219-229.

Financial markets in last decades are characterised by strong linkages and in particular by the propagation of financial crises from one to others. The aim of this work is to investigate extreme statistical dependence structures in financial crises. We found new empirical phenomena of asymmetrisation of these structures when extreme events occurs. We propose new methods for modeling and estimation of statistical dependence structures on base of copulas and extreme value theory.



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