Modeling dependence structures among international stock markets : evidence from hierarchical Archimedean copulas
Year of publication: |
December 2015
|
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Authors: | Yang, Lu ; Cai, Xiao Jing ; Mengling Li ; Hamori, Shigeyuki |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 51.2015, p. 308-314
|
Subject: | Dependence structure | HAC-MGARCH | International stock market | Financial crisis | Internationaler Finanzmarkt | International financial market | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Stock market | Welt | World | Finanzkrise | Schätzung | Estimation | Japan | Aktienindex | Stock index | ARCH-Modell | ARCH model | Börsenkurs | Share price | Großbritannien | United Kingdom |
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