A new approach to modeling co-movement of international equity markets : evidence of unconditional copula-based stimulation of tail dependence
Wei Sun; Svetlozar Rachev; Frank J. Fabozzi; Petko S. Kalev
| Year of publication: |
2009
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|---|---|
| Authors: | Sun, Wei ; Račev, Svetlozar T. ; Fabozzi, Frank J. ; Kalev, Petko S. |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 36.2009, 1, p. 201-229
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| Subject: | Internationaler Finanzmarkt | International financial market | Spillover-Effekt | Spillover effect | Multivariate Verteilung | Multivariate distribution | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003804574