Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications

摘要: The interdependence of Greece and other European stock markets the subsequent portfolio implications are examined in wavelet variational mode decomposition domain. In applying techniques, we analyze structural properties data distinguish between short long term dynamics market returns. First, GARCH-type models fitted to obtain standardized residuals. Next, different copula functions evaluated, based on conventional information criteria time varying parameter, Joe–Clayton is chosen model tail dependence markets. short-run lower paths show a sudden increase comovement during global financial crises. results long-run suggest that have higher with market. Individual country’s Value at Risk (VaR) separates countries into two distinct groups. Finally, two-asset VaR measures provide potential for investment diversification.