Modelling return dependence in financial markets
The aim of this thesis is to create models of returns of financial assets, traded on financial markets.
Due to the integration of these markets, as well as the dramatic events in the world economy,
dependence between returns of distinct assets arises – either within national markets, or between
them. These dependencies may be identified in the expected returns, but also in their volatilities, as
well as extreme values. The existence of mutual linkages transcends partial financial markets, and thus
it is also possible to identify relationships between different asset classes. The fulfillment of the goals
set in the thesis assumes the formulation of investment strategies exploiting the identified
relationships to strengthen the return, and/or risk profile of an investor.