Assessing some stylized facts about financial market indexes : a Markov copula approach
Osvaldo Candido Silva Filho; Flavio Augusto Ziegelmann
| Year of publication: |
2014
|
|---|---|
| Authors: | Silva Filho, Osvaldo Candido da ; Ziegelmann, Flávio A. |
| Published in: |
Journal of economic studies. - Bradford : Emerald, ISSN 0144-3585, ZDB-ID 127399-1. - Vol. 41.2014, 2, p. 253-271
|
| Subject: | Copulas | Markov switching | Tail dependence | Time-varying parameters | Markov-Kette | Markov chain | Multivariate Verteilung | Multivariate distribution | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Aktienindex | Stock index | Theorie | Theory | Schätzung | Estimation | Welt | World | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution |
| 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/10010259266