Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
| Year of publication: |
2010
|
|---|---|
| Authors: | Ignatieva, Katja ; Platen, Eckhard |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 17.2010, 3, p. 261-302
|
| Publisher: |
Springer |
| Subject: | International equity market | Student-t distribution | Symmetric generalized hyperbolic distribution | Time-varying copula | Value-at-risk | World stock index |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008678550