Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets
Weiou Wu, Marco Chi Keung Lau, Samuel A. Vigne
| Year of publication: |
December 2017
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|---|---|
| Authors: | Wu, Weiou ; Lau, Chi Keung ; Vigne, Samuel A. |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 42.2017, p. 1137-1149
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| Subject: | Conditional dependence | Tail dependence | Copulas | Contagion | Hongkong | Hong Kong | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Shanghai | Aktienindex | Stock index | Korrelation | Correlation | Aktienmarkt | Stock market | Börsenkurs | Share price | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2017.07.050 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011760780