Asymptotic Dependence Modelling of the BRICS Stock Markets

With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence 10 pairwise combinations 5 BRICS (Brazil, Russia, India, China, South Africa) stock markets. Daily closing equity indices from January 2010 to 6 August 2018 are used in study. Unlike previous literature, we bivariate point process conditional multivariate extreme value models investigate market returns. However, it is observed that was able model many more observations or exceedances contribute likelihood estimation. It gives information than threshold excess method CMEV model. This study shows varying levels low structure whose outcomes highly beneficial investors, portfolio managers other participants interested maximising returns gains.