Filho, Silva; da, Osvaldo Candido; Ziegelmann, Flavio … - In: Insurance: Mathematics and Economics 50 (2012) 3, pp. 346-356
Measuring dynamic dependence between international financial markets has recently attracted great interest in financial econometrics because the observed correlations rose dramatically during the 2008–09 global financial crisis. Here, we propose a novel approach for measuring dependence...