A revisit to the dependence structure between the stock and foreign exchange markets : a dependence-switching copula approach
Yi-Chiuan Wang; Yyh-Lin Wu; Yi-Hao Lai
| Year of publication: |
2013
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|---|---|
| Authors: | Wang, Yi-chiuan ; Wu, Yyh-lin ; Lai, Yi-hao |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 5, p. 1706-1719
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| Subject: | Dependence-switching copula | Tail dependence | Systemic risk | Portfolio rebalancing | Return chasing | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Devisenmarkt | Foreign exchange market | Aktienmarkt | Stock market | Theorie | Theory | Währungsrisiko | Exchange rate risk | Schätzung | Estimation | Systemrisiko |
| 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/10009729473