The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach
William A. Barnett, Xue Wang, Hai-Chuan Xu and Wei-Xing Zhou
| Year of publication: |
2023
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|---|---|
| Authors: | Barnett, William A. ; Wang, Xue ; Xu, Hai-Chuan ; Zhou, Wei-Xing |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 29.2023, 16, p. 1933-1956
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| Subject: | European stock markets | generalized autoregressive score | Tail dependence | time-varying copula | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Europa | Europe | Börsenkurs | Share price | Aktienindex | Stock index | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2023.2170755 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014388527