Modeling dependence structures among international stock markets : evidence from hierarchical Archimedean copulas
Lu Yang, Xiao Jing Cai, Mengling Li, Shigeyuki Hamori
| Year of publication: |
December 2015
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| Authors: | Yang, Lu ; Cai, Xiao Jing ; Li, Mengling ; Hamori, Shigeyuki |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 51.2015, p. 308-314
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| Subject: | Dependence structure | HAC-MGARCH | International stock market | Financial crisis | Multivariate Verteilung | Multivariate distribution | Internationaler Finanzmarkt | International financial market | Aktienmarkt | Stock market | Aktienindex | Stock index | Welt | World | Finanzkrise | Japan | Großbritannien | United Kingdom | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.08.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011476020