A1285
Title: Understanding asset class interdependence: A vector copula approach
Authors: Ivan Medovikov - Brock University (Canada) [presenting]
Abstract: The purpose is to assess the structure of dependence between major asset classes, including equities, fixed income, real estate, and cryptocurrencies, and trace the evolution of these links through recent major market events such as COVID and Liberation Day tariffs. A measure of vector dependence of a prior study is used to separate dependence that exists within each asset class from dependence that exists between these asset classes as a whole, where each class is treated as a single vector of asset returns. It is therefore demonstrated how the concept of vector, or "group" dependence can provide a deeper understanding of higher-dimensional links that exist in the financial markets.
