Currency price risk and stock market returns in Africa : dependence and downside spillover effects with stochastic copulas
Gideon Boako, Paul Alagidede
| Year of publication: |
September 2017
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|---|---|
| Authors: | Boako, Gideon ; Alagidede, Paul |
| Published in: |
Journal of multinational financial management. - Amsterdam [u.a.] : North-Holland, ISSN 1042-444X, ZDB-ID 1117284-8. - Vol. 41.2017, p. 92-114
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| Subject: | CoVaR | Currency | Stock markets | Copulas | Downside spillovers | Causality | Spillover-Effekt | Spillover effect | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Afrika | Africa | Volatilität | Volatility | Wechselkurs | Exchange rate | Börsenkurs | Share price | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.mulfin.2017.06.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011927874