A new dynamic mixture copula mechanism to examine the nonlinear and asymmetric tail dependence between stock and exchange rate returns
Kuang-Liang Chang
| Year of publication: |
2021
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|---|---|
| Authors: | Chang, Kuang-Liang |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 58.2021, 4, p. 965-999
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| Subject: | Stock market | Exchange rate | Asymmetric dependence | Mixture copula | Wechselkurs | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Kapitaleinkommen | Capital income | Schätzung | Estimation | Volatilität | Volatility | ARCH-Modell | ARCH model | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-09981-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012697775