What drives asymmetric dependence structure of asset return comovements?
Year of publication: |
December 2016
|
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Authors: | Poshakwale, Sunil S. ; Mandal, Anandadeep |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 48.2016, p. 312-330
|
Subject: | Asset return comovements | Markov Switching Stochastic Volatility model | Time-varying conditional copula | Macro and non-macroeconomic determinants | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Markov-Kette | Markov chain | Volatilität | Volatility | Korrelation | Correlation | Schätzung | Estimation | Börsenkurs | Share price | ARCH-Modell | ARCH model | Kapitalmarktrendite | Capital market returns | Finanzmarkt | Financial market | CAPM | Stochastischer Prozess | Stochastic process |
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