Dynamic dependencies between the Tunisian stock market and other international stock markets : GARCH-EVT-Copula approach
A. Chebbi and A. Hedhli
| Year of publication: |
2014
|
|---|---|
| Authors: | Chebbi, A. ; Hedhli, A. |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 16/18, p. 1215-1228
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| Subject: | extreme value theory | copulas theory | dependency structure | dynamic copulas | generalized pareto distribution | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Stock market | Theorie | Theory | Kapitaleinkommen | Capital income | Tunesien | Tunisia | ARCH-Modell | ARCH model | Ausreißer | Outliers | Risikomaß | Risk measure | 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/10010418906