Modeling asymmetric and dynamic dependence of overnight and daytime returns : an empirical evidence from China banking sector
Year of publication: |
December 2015
|
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Authors: | Tong, Bin ; Diao, Xundi ; Wu, Chongfeng |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 51.2015, p. 366-382
|
Subject: | Overnight returns | Daytime returns | Copulas | Tail dependence | Asymmetry | Kapitaleinkommen | Capital income | China | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Bank |
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