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Search: subject:"Time-varying conditional copula"
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Time-varying conditional copula
3
AR-GARCH-t model
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Dependence structure
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Stock market
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Asset return comovements
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Kapitalmarktrendite
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Hu, Jian
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Mandal, Anandadeep
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Poshakwale, Sunil S.
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Southern Methodist University, Department of Economics
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Departmental Working Papers / Southern Methodist University, Department of Economics
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International review of financial analysis
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ECONIS (ZBW)
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What drives asymmetric dependence structure of asset return comovements?
Poshakwale, Sunil S.
;
Mandal, Anandadeep
- In:
International review of financial analysis
48
(
2016
),
pp. 312-330
Persistent link: https://www.econbiz.de/10011624528
Saved in:
2
Dependence Structures in Chinese and U.S. Financial Markets: A
Time-varying
Conditional
Copula
Approach
Hu, Jian
-
Southern Methodist University, Department of Economics
-
2008
In this paper, we use a
Time-Varying
Conditional
Copula
approach (TVCC) to model Chinese and U.S. stock markets …
Persistent link: https://www.econbiz.de/10005773595
Saved in:
3
Dependence Structures in Chinese and U.S. Financial Markets -- A
Time-varying
Conditional
Copula
Approach
Hu, Jian
-
Volkswirtschaftliche Fakultät, …
-
2008
In this paper, we use a
Time-Varying
Conditional
Copula
approach (TVCC) to model Chinese and U.S. stock markets …
Persistent link: https://www.econbiz.de/10005789899
Saved in:
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