Diversification evidence from international equity markets using extreme values and stochastic copulas
M. Ishaq Bhatti, Cuong C. Nguyen
| Year of publication: |
2012
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|---|---|
| Authors: | Bhatti, Muhammad Ishaq ; Nguyen, Cuong |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 22.2012, 3, p. 622-646
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| Subject: | Conditional extreme value theory | Dependence structure | International financial markets | Risk management | Time-varying copula | Multivariate Verteilung | Multivariate distribution | Internationaler Finanzmarkt | International financial market | ARCH-Modell | ARCH model | Ausreißer | Outliers | Kapitaleinkommen | Capital income | Risikomanagement | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure |
| 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/10009623538