The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Kuang-Liang Chang
| Year of publication: |
2023
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|---|---|
| Authors: | Chang, Kuang-Liang |
| Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 133.2023, p. 1-18
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| Subject: | Markov-switching | Mixture copula | GAS | Equity market | Exchange rate | Wechselkurs | Aktienmarkt | Stock market | Multivariate Verteilung | Multivariate distribution | Internationaler Finanzmarkt | International financial market | Schätzung | Estimation | Theorie | Theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Japan | Markov-Kette | Markov chain | Welt | World | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Währungsrisiko | Exchange rate risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jimonfin.2023.102839 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014304729