Short- and long-run tail dependence switching in MENA stock markets : the roles of oil, bitcoin, gold and VIX
Year of publication: |
[2019]
|
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Authors: | Mensi, Walid ; Hammoudeh, Shawkat ; Tiwari, Aviral Kumar ; Al-Yahyaee, Khamis Hamed |
Publisher: |
Dokki, Giza, Egypt : Economic Research Forum (ERF) |
Subject: | Oil | MENA stock markets | global factors | wavelet | dependence-switching copula approach | Aktienmarkt | Stock market | MENA-Staaten | MENA countries | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility | Welt | World | Kapitaleinkommen | Capital income | Kointegration | Cointegration | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (circa 58 Seiten) Illustrationen |
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Series: | ERF working papers series : working paper. - Dokki, Giza, Egypt : Economic Research Forum, ZDB-ID 2638811-X. - Vol. no. 1345 (September 2019) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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