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  • Search: subject:"“Golden week” effect"
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Copula-ARMA-GARCH models 1 Dependence 1 Spot markets 1 Stock index futures 1 “Golden week” effect 1
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Free 1
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Article 1
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Undetermined 1
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Chaiboonsri, Chukiat 1 Chokethaworn, Kanchana 1 Yin, Lanwenjing 1
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The Empirical Econometrics and Quantitative Economics Letters 1
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RePEc 1
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Dependence structure analysis between stock index futures and spot markets in the case of the “Golden week” effect
Yin, Lanwenjing; Chokethaworn, Kanchana; Chaiboonsri, … - In: The Empirical Econometrics and Quantitative Economics … 2 (2013) 4, pp. 75-75
find out which copula can provide a better fit to the empirical data in case of the “Golden Week” effect. Moreover, we … description is better, and tail dependence is significantly high. It also demonstrates that the “Golden week” effect could decline …
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