Modelling Asymmetric Conditional Dependence between Shanghai and Hong Kong Stock Markets

Keyphrases

• Conditional Dependence 100%
• Hong Kong Stock Market 100%
• Bivariate 50%
• China 25%
• Hong Kong 25%
• Upper Tail 25%
• Positive Shocks 25%
• Time-varying Copula 25%
• Stock Returns 25%
• Copula 25%
• Contagion 25%
• Chinese Equity Markets 25%
• Copula Approach 25%
• Stock Index Returns 25%
• Generalized Autoregressive Score Model 25%
• Conditional Distribution 25%
• Financial Recession 25%
• Asymmetric Property 25%
• Optimal Model Selection 25%

Mathematics

• Stock Market 100%
• Conditionals 100%
• Asymmetric 100%
• Copula 60%
• Bivariate 40%
• Optimal Model 20%
• Equity Market 20%
• Model Selection 20%
• Joint Conditional Distribution 20%

Economics, Econometrics and Finance

• Stock Index 100%
• Capital Market Returns 100%