Granger-causality in quantiles between financial markets : using copula approach
Tae-Hwy Lee; Weiping Yang
| Year of publication: |
2014
|
|---|---|
| Authors: | Lee, Tae-hwy ; Yang, Weiping |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 33.2014, p. 70-78
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| Subject: | Contagion in financial markets | Copula functions | Inverting conditional copula | Granger-causality in conditional quantiles | Multivariate Verteilung | Multivariate distribution | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Theorie | Theory | Internationaler Finanzmarkt | International financial market | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis |
| 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://ebvufind01.dmz1.zbw.eu/10010520073