The dynamic dependence between stock markets in the greater China economic area : a study based on extreme values and copulas
Saiful Izzuan Hussain, Steven Li
| Year of publication: |
May 2018
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|---|---|
| Authors: | Hussain, Saiful Izzuan ; Li, Steven |
| Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 32.2018, 2, p. 207-233
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| Subject: | Copula | Extreme value theory | Dependence structure | Chinese stock markets | Financial crisis | China | Aktienmarkt | Stock market | Multivariate Verteilung | Multivariate distribution | Finanzkrise | Ausreißer | Outliers | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-018-0308-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011951950