Conditional dependence between international stock markets : a long memory GARCH-copula model approach
Khaled Mokni, Faysal Mansouri
| Year of publication: |
December 2017
|
|---|---|
| Authors: | Mokni, Khaled ; Mansouri, Fayçal |
| Published in: |
Journal of multinational financial management. - Amsterdam [u.a.] : North-Holland, ISSN 1042-444X, ZDB-ID 1117284-8. - Vol. 42/43.2017, p. 116-131
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| Subject: | Dependence structure | Copula | Stock markets | Long memory | FIGARCH models | Risk management | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Risikomanagement | Kapitaleinkommen | Capital income | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.mulfin.2017.10.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011927907