What drives asymmetric dependence structure of asset return comovements?
Sunil S. Poshakwale, Anandadeep Mandal
| Year of publication: |
December 2016
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|---|---|
| Authors: | Poshakwale, Sunil S. ; Mandal, Anandadeep |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 48.2016, p. 312-330
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| Subject: | Asset return comovements | Markov Switching Stochastic Volatility model | Time-varying conditional copula | Macro and non-macroeconomic determinants | Kapitaleinkommen | Capital income | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Markov-Kette | Markov chain | Schätzung | Estimation | Theorie | Theory | Finanzmarkt | Financial market | Kapitalmarktrendite | Capital market returns | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2015.07.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011624528