A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets
Year of publication: |
2004-12
|
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Authors: | Goorbergh, Rob van den |
Institutions: | de Nederlandsche Bank |
Subject: | stock markets | dependence | copulas | synchronicity |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | G15 - International Financial Markets ; C51 - Model Construction and Estimation ; C12 - Hypothesis Testing ; C13 - Estimation ; C32 - Time-Series Models |
Source: |
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