Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach
Satish Kumar, Aviral Kumar Tiwari, Yogesh Chauhan, Qiang Ji
| Year of publication: |
2019
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|---|---|
| Authors: | Kumar, Satish ; Tiwari, Aviral Kumar ; Chauhan, Yogesh ; Ji, Qiang |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 63.2019, p. 273-284
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| Subject: | BRICS | Dependence-switching copula | Portfolio rebalancing | Return chasing | Tail dependence | Aktienmarkt | Stock market | Multivariate Verteilung | Multivariate distribution | BRICS-Staaten | BRICS countries | Kapitaleinkommen | Capital income | Wechselkurs | Exchange rate | Portfolio-Management | Portfolio selection | Devisenmarkt | Foreign exchange market | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2018.12.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012207463