Global Financial Markets Forecasting Tool Reduces Risk, Boosts Profits.
The article measures and forecasts systemic risk in global financial markets using a combination of factor copula-GARCH models and CES. By analyzing daily stock market indices of 43 countries from 2003 to 2019, the study identifies how individual countries contribute to global systemic risk. The research suggests that forecasting systemic risk can help investors and financial institutions diversify portfolios and make profitable trading decisions.