ANALYSIS OF TAIL DEPENDENCE STRUCTURE IN GLOBAL FINANCIAL MARKETS

The identification of tail (in)dependencies has drawn major attention in empirical financial studies. We concern on the structure of dependence which refers to dependence as symmetric or asymmetric, tail_x0002_dependent or tail-independent. We present the proper procedure of analysis dependence structure between some financial instruments. Our empirical results demonstrate different tail dependence structures underlying various global financial markets.