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Persistent link: https://www.econbiz.de/10010240939
The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the...
Persistent link: https://www.econbiz.de/10013071482