Time Variation in Asset Return Dependence: Strength or Structure?
Year of publication: |
2009-10-20
|
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Authors: | Kole, Erik ; van Dijk, Dick ; Markwat, Markwat, T.D. |
Institutions: | Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam |
Subject: | copulas | dependence | international correlations | stock markets |
Extent: | application/pdf |
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Series: | ERIM Report Series Research in Management. - ISSN 1566-5283. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureri Number ERS-2009-052-F&A |
Classification: | C32 - Time-Series Models ; F3 - International Finance ; G15 - International Financial Markets |
Source: |
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Time Variation in Asset Return Dependence: Strength or Structure?
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