Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
Yue Peng; Wing Lon Ng
| Year of publication: |
2012
|
|---|---|
| Authors: | Yue Peng ; Wing Lon Ng |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 8.2012, 1, p. 49-74
|
| Subject: | Volatilität | Volatility | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Ansteckungseffekt | Contagion effect | Finanzkrise | Financial crisis | Aktienmarkt | Stock market | Finanzmarkt | Financial market | Aktienindex | Stock index | ARCH-Modell | ARCH model |
| 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://www.econbiz.de/10009510581