A revisit to the dependence structure between the stock and foreign exchange markets : a dependence-switching copula approach
Year of publication: |
2013
|
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Authors: | Wang, Yi-chiuan ; Wu, Yyh-lin ; Lai, Yi-hao |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 5, p. 1706-1719
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Subject: | Dependence-switching copula | Tail dependence | Systemic risk | Portfolio rebalancing | Return chasing | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Devisenmarkt | Foreign exchange market | Aktienmarkt | Stock market | Börsenkurs | Share price | Theorie | Theory |
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