On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach
Year of publication: |
2014-02-12
|
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Authors: | Boubaker, Heni ; Sghaier, Nadia |
Institutions: | Institut de Préparation à l'Administration et à la Gestion (IPAG) |
Subject: | dependence | stock markets | extreme value theory | time-varing copulas |
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