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~isPartOf:"Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG)"
~person:"Boubaker, Heni"
~subject:"multivariate fractional cointegration"
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multivariate fractional cointegration
stock markets
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extreme value theory
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stock market returns
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time-varing copulas
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FIAPARCH errors
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asymmetric dependence structure
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change point testing method
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Boubaker, Heni
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Gauging the nonstationarity and asymmetries in the oil-stock price links: a multivariate analysis
Boubaker, Heni
;
Guesmi, Khaled
;
Nguyen, Duc Khuong
-
Institut de Préparation à l'Administration et à la …
-
2014
This paper shows the usefulness and relevance of the multivariate fractional cointegration in exploring the dynamic
Persistent link: https://www.econbiz.de/10010860562
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