A new dynamic mixture copula mechanism to examine the nonlinear and asymmetric tail dependence between stock and exchange rate returns
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 | ARCH-Modell | ARCH model | Schätzung | Estimation | Kapitaleinkommen | Capital income | Volatilität | Volatility | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution |
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