Grouping stock markets with time-varying Copula-GARCH model
Year of publication: |
2014
|
---|---|
Authors: | Czapkiewicz, Anna ; Majdosz, Paweł |
Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 64.2014, 2, p. 144-159
|
Subject: | regime switching copula model | Spearman ratio | clustering stock indices | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Aktienindex | Stock index | Börsenkurs | Share price | Schätzung | Estimation | ARCH-Modell | ARCH model | Markov-Kette | Markov chain |
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