Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
Year of publication: |
2010
|
---|---|
Authors: | Ignatieva, Katja ; Platen, Eckhard |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 17.2010, 3, p. 261-302
|
Publisher: |
Springer |
Subject: | International equity market | Student-t distribution | Symmetric generalized hyperbolic distribution | Time-varying copula | Value-at-risk | World stock index |
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