Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach
Year of publication: |
2019
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Authors: | Liu, Hsiang-Hsi ; Wang, Teng-Kun ; Li, Weny |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 48.2019, p. 381-396
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Subject: | Contagion Effect | Copula Function | Dependence Structure | Financial Tsunami | Subprime Mortgage Crisis | Treasury Bond Cash and Futures | VEC GJR-GARCH-Skewed-t | Finanzkrise | Financial crisis | USA | United States | Multivariate Verteilung | Multivariate distribution | Öffentliche Anleihe | Public bond | Derivat | Derivative | Subprime-Krise | Subprime financial crisis | Kapitaleinkommen | Capital income | Ansteckungseffekt | Contagion effect | Volatilität | Volatility | Staatspapier | Government securities | ARCH-Modell | ARCH model | Börsenkurs | Share price | Korrelation | Correlation |
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