A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
| Year of publication: |
2009
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|---|---|
| Authors: | Sun, Wei ; Rachev, Svetlozar ; Fabozzi, Frank ; Kalev, Petko |
| Published in: |
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 36.2009, 1, p. 201-229
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| Publisher: |
Department of Economics and Finance Research and Teaching |
| Subject: | Copula | Fractional Gaussian noise | High-frequency data | Self-similarity | Tail dependence |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005612885